Report NEP-MST-2012-11-03This 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:
- Kylie-Anne Richards & Gareth W. Peters & William Dunsmuir, 2012. "Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets," Papers 1210.7215, arXiv.org.
- Rene Carmona & Kevin Webster, 2012. "High Frequency Market Making," Papers 1210.5781, arXiv.org.
- Bannouh, K. & Martens, M.P.E. & Oomen, R.C.A. & Dijk, D.J.C. van, 2012. "Realized mixed-frequency factor models for vast dimensional covariance estimation," Research Paper ERS-2012-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
- Zhi Zheng & Richard B. Sowers, 2012. "A Model of Market Limit Orders By Stochastic PDE's, Parameter Estimation, and Investment Optimization," Papers 1210.7230, arXiv.org.
- Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2012. "High quality topic extraction from business news explains abnormal financial market volatility," Papers 1210.6321, arXiv.org, revised Mar 2013.
- Marco di Maggio & Marco Pagano, 2012. "Financial Disclosure and Market Transparency with Costly Information Processing," CSEF Working Papers 323, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 23 Oct 2013.