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Details about Jeremy Houston Large

Homepage:http://www.economics.ox.ac.uk/members/jeremy.large/
Workplace:Department of Economics, Oxford University, (more information at EDIRC)
Finance Research Centre, Oxford University, (more information at EDIRC)

Access statistics for papers by Jeremy Houston Large.

Last updated 2014-01-05. Update your information in the RePEc Author Service.

Short-id: pla212


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Working Papers

2008

  1. Ergodic Equilibria in Stochastic Sequential Games
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)

2007

  1. Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2011)

2006

  1. A Market-Clearing Role for Inefficiency on a Limit Order Book
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (1)
    See also Journal Article in Journal of Financial Economics (2009)

2005

  1. Estimating quadratic variation when quoted prices jump by a constant increment
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (6)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2005) Downloads View citations (12)

2004

  1. Cancellation and Uncertainty Aversion on Limit Order Books
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) Downloads View citations (2)

Journal Articles

2011

  1. Estimating quadratic variation when quoted prices change by a constant increment
    Journal of Econometrics, 2011, 160, (1), 2-11 Downloads View citations (4)
    See also Working Paper (2007)

2009

  1. A market-clearing role for inefficiency on a limit order book
    Journal of Financial Economics, 2009, 91, (1), 102-117 Downloads View citations (5)
    See also Working Paper (2006)

2008

  1. Moving Average-Based Estimators of Integrated Variance
    Econometric Reviews, 2008, 27, (1-3), 79-111 Downloads View citations (45)

2007

  1. Measuring the resiliency of an electronic limit order book
    Journal of Financial Markets, 2007, 10, (1), 1-25 Downloads View citations (61)
 
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