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