Report NEP-MST-2011-05-30This 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:
- Julien Chevallier & Benoît Sévi, 2011. "On the volatility-volume relationship in energy futures markets using intraday data," EconomiX Working Papers 2011-16, University of Paris West - Nanterre la Défense, EconomiX.
- Colliard, Jean-Edouard & Foucault, Thierry, 2011. "Trading Fees and Efficiency in Limit Order Markets," CEPR Discussion Papers 8395, C.E.P.R. Discussion Papers.
- Humphery-Jenner, M., 2011. "High Frequency Trading, Information, and Takeovers," Discussion Paper 2011-047, Tilburg University, Center for Economic Research.
- Alex Langnau & Yanko Punchev, 2011. "Stochastic Price Dynamics Implied By the Limit Order Book," Papers 1105.4789, arXiv.org.
- Hellström, Jörgen & Lönnbark, Carl, 2011. "Identification of jumps in financial price series," UmeÃ¥ Economic Studies 827, Umeå University, Department of Economics.
- Olivier Gu\'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Dealing with the Inventory Risk. A solution to the market making problem," Papers 1105.3115, arXiv.org, revised Aug 2012.