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Report NEP-MST-2012-04-17
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:
- Ban Zheng & Eric Moulines & Fr'ed'eric Abergel, 2012, "Price Jump Prediction in Limit Order Book," Papers, arXiv.org, number 1204.1381, Apr.
- Peter Lerner, 2012, "Patience vs. Impatience of Stock Traders," Papers, arXiv.org, number 1204.1410, Apr, revised Jun 2014.
- Rossella Agliardi & Ramazan Gençay, 2012, "Hedging through a Limit Order Book with Varying Liquidity," Working Paper series, Rimini Centre for Economic Analysis, number 12_12, Apr.
- Jozef Barunik & Tomas Krehlik & Lukas Vacha, 2012, "Modeling and forecasting exchange rate volatility in time-frequency domain," Papers, arXiv.org, number 1204.1452, Apr, revised Feb 2015.