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Report NEP-MST-2011-05-30
This 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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Julien Chevallier & Benoît Sévi, 2011, "On the volatility-volume relationship in energy futures markets using intraday data," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2011-16.
- Foucault, Thierry & Colliard, Jean-Edouard, 2011, "Trading Fees and Efficiency in Limit Order Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8395, May.
- Item repec:dgr:kubcen:2011047 is not listed on IDEAS anymore
- Alex Langnau & Yanko Punchev, 2011, "Stochastic Price Dynamics Implied By the Limit Order Book," Papers, arXiv.org, number 1105.4789, May.
- Hellström, Jörgen & Lönnbark, Carl, 2011, "Identification of jumps in financial price series," Umeå Economic Studies, Umeå University, Department of Economics, number 827, May.
- Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011, "Dealing with the Inventory Risk. A solution to the market making problem," Papers, arXiv.org, number 1105.3115, May, revised Aug 2012.