Report NEP-MST-2012-03-08This 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:
- Nikolaus Hautsch & Ruihong Huang, 2012. "On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2012-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Rama Cont & Adrien De Larrard, 2012. "Order book dynamics in liquid markets: limit theorems and diffusion approximations," Papers, arXiv.org 1202.6412, arXiv.org.
- Pietro Fodra & Mauricio Labadie, 2012. "High-frequency market-making with inventory constraints and directional bets," Working Papers, HAL hal-00675925, HAL.
- Neil Shephard & Kevin Sheppard, 2012. "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Series Working Papers, University of Oxford, Department of Economics 593, University of Oxford, Department of Economics.
- Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Hannover Economic Papers (HEP), Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.