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Report NEP-MST-2011-11-14
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:
- Paolo Pellizzari, 2011, "Optimal trading in a limit order book using linear strategies," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2011_16, revised Sep 2011.
- Viktor Todorov & George Tauchen & Iaryna Grynkiv, 2011, "Volatility Activity: Specification and Estimation," Working Papers, Duke University, Department of Economics, number 11-23.
- Zhi Guo & Eckhard Platen, 2011, "The Small and Large Time Implied Volatilities in the Minimal Market Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 297, Sep.