Report NEP-MST-2012-02-15This 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:
- Wei-Xing Zhou, 2012. "Determinants of immediate price impacts at the trade level in an emerging order-driven market," Papers 1201.5448, arXiv.org.
- Peter Kratz & Torsten Schoneborn, 2012. "Portfolio liquidation in dark pools in continuous time," Papers 1201.6130, arXiv.org, revised Aug 2012.
- Jozef Barunik & Lukas Vacha, 2012. "Realized wavelet-based estimation of integrated variance and jumps in the presence of noise," Papers 1202.1854, arXiv.org, revised Feb 2013.
- J. Shen & B. Zheng, 2012. "On return-volatility correlation in financial dynamics," Papers 1202.0342, arXiv.org.