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Report NEP-MST-2012-02-20
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:
- Fulvio Baldovin & Francesco Camana & Massimiliano Caporin & Michele Caraglio & Attilio L. Stella, 2012, "Ensemble properties of high frequency data and intraday trading rules," Papers, arXiv.org, number 1202.2447, Feb, revised Jul 2013.
- Scalas, Enrico & Politi, Mauro, 2012, "A parsimonious model for intraday European option pricing," Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel), number 2012-14.
- Luciano Campi & Umut c{C}etin & Albina Danilova, 2012, "Dynamic Markov bridges motivated by models of insider trading," Papers, arXiv.org, number 1202.2980, Feb.