Details about Jeremy Houston Large

Access statistics for papers by Jeremy Houston Large.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pla212

Working Papers

2022

1. Estimating Very Large Demand Systems
   INET Oxford Working Papers, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2022)

2008

2. Ergodic Equilibria in Stochastic Sequential Games
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
3. Pro-rata matching and one-tick futures markets
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (8)

2007

4. Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (6)
   See also Journal Article Estimating quadratic variation when quoted prices change by a constant increment, Journal of Econometrics, Elsevier (2011) View citations (8) (2011)

2006

5. A Market-Clearing Role for Inefficiency on a Limit Order Book
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)
   See also Journal Article A market-clearing role for inefficiency on a limit order book, Journal of Financial Economics, Elsevier (2009) View citations (8) (2009)

2005

6. Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (11)
   Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2005) View citations (9)
   OFRC Working Papers Series, Oxford Financial Research Centre (2005) View citations (17)

2004

7. Cancellation and Uncertainty Aversion on Limit Order Books
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (8)
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2004) View citations (8)
   OFRC Working Papers Series, Oxford Financial Research Centre (2004) View citations (8)

Journal Articles

2011

1. Estimating quadratic variation when quoted prices change by a constant increment
   Journal of Econometrics, 2011, 160, (1), 2-11 View citations (8)
   See also Working Paper Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment, Economics Series Working Papers (2007) View citations (6) (2007)

2009

2. A market-clearing role for inefficiency on a limit order book
   Journal of Financial Economics, 2009, 91, (1), 102-117 View citations (8)
   See also Working Paper A Market-Clearing Role for Inefficiency on a Limit Order Book, Economics Papers (2006) View citations (2) (2006)

2008

3. Moving Average-Based Estimators of Integrated Variance
   Econometric Reviews, 2008, 27, (1-3), 79-111 View citations (54)

2007

4. Measuring the resiliency of an electronic limit order book
   Journal of Financial Markets, 2007, 10, (1), 1-25 View citations (138)