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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)

Access statistics for papers by Jeremy Houston Large.

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

Short-id: pla212


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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 Downloads
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2022) Downloads

2008

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

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 Estimating quadratic variation when quoted prices change by a constant increment, Journal of Econometrics, Elsevier (2011) Downloads View citations (8) (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 (2)
    See also Journal Article A market-clearing role for inefficiency on a limit order book, Journal of Financial Economics, Elsevier (2009) Downloads View citations (8) (2009)

2005

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

2004

  1. Cancellation and Uncertainty Aversion on Limit Order Books
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (8)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2004) Downloads View citations (8)
    Economics Series Working Papers, University of Oxford, Department of Economics (2004) Downloads 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 Downloads View citations (8)
    See also Working Paper Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment, Economics Series Working Papers (2007) Downloads View citations (6) (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 (8)
    See also Working Paper A Market-Clearing Role for Inefficiency on a Limit Order Book, Economics Papers (2006) Downloads View citations (2) (2006)

2008

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

2007

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