Report NEP-MST-2010-06-11This 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.
The following items were announced in this report:
- Carol L. Clark, 2010. "Controlling risk in a lightning-speed trading environment," Policy Discussion Paper Series PDP-2010-01, Federal Reserve Bank of Chicago.
- Alex Frino & Maria Grazia Romano, 2010. "Transaction Costs and the Asymmetric Price Impact of Block Trades," CSEF Working Papers 252, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Sophie Laruelle & Charles-Albert Lehalle & Gilles Pagès, 2009. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Working Papers hal-00422427, HAL.
- Fabien Guilbaud & Mohamed Mnif & Huy\^en Pham, 2010. "Numerical methods for an optimal order execution problem," Science & Finance (CFM) working paper archive 1006.0768, Science & Finance, Capital Fund Management.