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 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 1202.6412, arXiv.org.
- Pietro Fodra & Mauricio Labadie, 2012. "High-frequency market-making with inventory constraints and directional bets," Working Papers 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 593, University of Oxford, Department of Economics.
- Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃ¤t der Leibniz UniversitÃ¤t Hannover dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.