Details about Jeremy Houston Large
Access statistics for papers by Jeremy Houston Large.
Last updated 2011-11-27. Update your information in the RePEc Author Service.
Short-id: pla212
Jump to Journal Articles
Working Papers
2008
- Ergodic Equilibria in Stochastic Sequential Games
Economics Series Working Papers, University of Oxford, Department of Economics  View citations (1)
2007
- Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment
Economics Series Working Papers, University of Oxford, Department of Economics View citations (5)
See also Journal Article in Journal of Econometrics (2011)
2006
- A Market-Clearing Role for Inefficiency on a Limit Order Book
Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (1)
See also Journal Article in Journal of Financial Economics (2009)
2005
- Estimating quadratic variation when quoted prices jump by a constant increment
OFRC Working Papers Series, Oxford Financial Research Centre View citations (10)
Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2005) View citations (8)
2004
- Cancellation and Uncertainty Aversion on Limit Order Books
Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)
Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (2)
Journal Articles
2011
- Estimating quadratic variation when quoted prices change by a constant increment
Journal of Econometrics, 2011, 160, (1), 2-11 View citations (1)
See also Working Paper (2007)
2009
- A market-clearing role for inefficiency on a limit order book
Journal of Financial Economics, 2009, 91, (1), 102-117 View citations (4)
See also Working Paper (2006)
2008
- Moving Average-Based Estimators of Integrated Variance
Econometric Reviews, 2008, 27, (1-3), 79-111 View citations (22)
2007
- Measuring the resiliency of an electronic limit order book
Journal of Financial Markets, 2007, 10, (1), 1-25 View citations (21)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|
EconPapers is hosted by the
Örebro University School of Business.