Report NEP-MST-2011-06-04This 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:
- Álvaro Cartea & José Penalva, 2011. "Where is the value in high frequency trading?," Banco de Espaï¿½a Working Papers, Banco de Espaï¿½a 1111, Banco de Espa�a.
- Kim Christensen & Roel Oomen & Mark Podolskij, 2011. "Fact or friction: Jumps at ultra high frequency," CREATES Research Papers, School of Economics and Management, University of Aarhus 2011-19, School of Economics and Management, University of Aarhus.
- Brutscher, P., 2011. "Liquidity Constraints and High Electricity Use," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 1122, Faculty of Economics, University of Cambridge.
- Willis, Geoff, 2011. "Pricing, liquidity and the control of dynamic systems in finance and economics," MPRA Paper 31137, University Library of Munich, Germany.
- Jonathan Chiu & Thorsten Koeppl, 2011. "Trading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and Recovery," Working Papers, Queen's University, Department of Economics 1267, Queen's University, Department of Economics.