Report NEP-MST-2011-08-15This 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:
- Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2011. "Transaction Costs, Trading Volume, and the Liquidity Premium," Papers 1108.1167, arXiv.org, revised Jan 2013.
- Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer, 2011. "Why is order flow so persistent?," Papers 1108.1632, arXiv.org.
- Luciano Campi & Umut Cetin & Albina Danilova, 2011. "Equilibrium model with default and insider's dynamic information," Working Papers hal-00613216, HAL.