Report NEP-MST-2012-05-22This 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:
- Fabien Guilbaud & Huy^en Pham, 2012. "Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information," Papers 1205.3051, arXiv.org.
- Fei Chen & Francis X. Diebold & Frank Schorfheide, 2012. "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," PIER Working Paper Archive 12-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Greg Farrell & Shakill Hassan & Nicola Viegi, 2012. "The High-Frequency Response of the Rand-Dollar Rate to Inflation Surprises," Working Papers 201215, University of Pretoria, Department of Economics.
- Mauricio Labadie & Charles-Albert Lehalle, 2012. "Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall," Papers 1205.3482, arXiv.org, revised Dec 2013.