Report NEP-MST-2012-11-11This 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:
- Item repec:hal:wpaper:hal-00745317 is not listed on IDEAS anymore
- Pierre-Olivier Weill & Johan Hombert & Bruno Biais, 2012. "Trading and liquidity with limited cognition," 2012 Meeting Papers, Society for Economic Dynamics 118, Society for Economic Dynamics.
- Ioane Muni Toke & Fabrizio Pomponio, 2012. "Modelling Trades-Through in a Limit Order Book Using Hawkes Processes," Post-Print, HAL hal-00745554, HAL.
- Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2012. "High quality topic extraction from business news explains abnormal financial market volatility," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-299, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Gelsomini, Luca, 2012. "Public Disclosure by ‘Small’ Traders," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 998, University of Warwick, Department of Economics.