Report NEP-MST-2012-02-27This 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:
- Rama Cont & Adrien De Larrard, 2011. "Order book dynamics in liquid markets: limit theorems and diffusion approximations," Working Papers hal-00672274, HAL.
- Rosenthal, Dale W.R., 2009. "Performance metrics for algorithmic traders," MPRA Paper 36787, University Library of Munich, Germany, revised 04 Jan 2012.
- Michael Ehrmann & David-Jan Jansen, 2012. "The pitch rather than the pit: investor inattention during FIFA World Cup matches," DNB Working Papers 337, Netherlands Central Bank, Research Department.
- A. Saichev & D. Sornette, 2012. "A simple microstructure return model explaining microstructure noise and Epps effects," Papers 1202.3915, arXiv.org.
- Camille Magron & Maxime Merli, 2012. "Stocks repurchase and sophistication of individual investors," Working Papers of LaRGE Research Center 2012-02, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.