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Quantitative Finance, Volume 8 Issue 1 2008

Increasing to 10 issues in 2010
ISSN: 1469-7696 (electronic) 1469-7688 (paper)
Publication Frequency: 8 issues per year
Publisher: Routledge
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Comment and Analysis
Financial markets. The joy of volatility
M. A. H. Dempster;  Igor V. Evstigneev; Klaus Reiner Schenk-Hoppé
Pages 1 – 3
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Impact of economic data surprises on exchange rates in the inter-dealer market
Jessica James; Kristjan Kasikov
Pages 5 – 15
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Research Papers
The next tick on Nasdaq
Bruce Mizrach
Pages 19 – 40
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Original Articles
Relation between bid–ask spread, impact and volatility in order-driven markets
Matthieu Wyart;  Jean-Philippe Bouchaud;  Julien Kockelkoren;  Marc Potters; Michele Vettorazzo
Pages 41 – 57
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Heterogeneity, convergence, and autocorrelations
Xue-Zhong He; Youwei Li
Pages 59 – 79
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Semiparametric diffusion estimation and application to a stock market index
Wolfgang Härdle;  Torsten Kleinow;  Alexander Korostelev;  Camille Logeay; Eckhard Platen
Pages 81 – 92
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Risk-adjusted value allocation for (non-traded) assets with performance ratios
Johannes Leitner
Pages 93 – 102
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