NEP-MST-2009-10-10

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Report NEP-MST-2009-10-10

This is the archive for NEP-MST, a report on new working papers in the area of Market Microstructure. Thanos Verousis issued this report. It is usually issued weekly.

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Other reports in NEP-MST

The following items were anounced in this report:

Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2009. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," CREATES Research Papers 2009-45, School of Economics and Management, University of Aarhus. [Downloadable!]
Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," TÃSÄ°AD-KoÃ§ University Economic Research Forum Working Papers 0909, TUSIAD-Koc University Economic Research Forum, revised Nov 2009. [Downloadable!]
Mark Podolskij & Mathias Vetter, 2009. "Understanding limit theorems for semimartingales: a short survey," CREATES Research Papers 2009-47, School of Economics and Management, University of Aarhus. [Downloadable!]
Jochen R. Andritzky & Andreas Jobst & Sylwia Barbara Nowak & Natalia T. Tamirisa, 2009. "Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets," IMF Working Papers 09/147, International Monetary Fund. [Downloadable!]
Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag\`es, 2009. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Quantitative Finance Papers 0910.1166, arXiv.org, revised Nov 2009. [Downloadable!]

This page was last updated on 2009-12-13.

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