Report NEP-MST-2011-09-22This 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:
- Antje Fruth & Torsten Schoeneborn & Mikhail Urusov, 2011. "Optimal trade execution and price manipulation in order books with time-varying liquidity," Papers 1109.2631, arXiv.org.
- Nicolas Huth & Frédéric Abergel, 2010. "High frequency correlation modelling," Post-Print hal-00621244, HAL.
- Maria Elvira Mancino & Simona Sanfelici, 2011. "Estimation of Quarticity with High Frequency Data," Working Papers - Mathematical Economics 2011-06, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Jan 2012.
- Item repec:hal:wpaper:hal-00621253 is not listed on IDEAS anymore
- Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: I. Empirical facts," Post-Print hal-00621058, HAL.