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Report NEP-MST-2012-05-22
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:
- Fabien Guilbaud & Huy^en Pham, 2012, "Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information," Papers, arXiv.org, number 1205.3051, May.
- 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, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 12-020, May.
- Greg Farrell & Shakill Hassan & Nicola Viegi, 2012, "The High-Frequency Response of the Rand-Dollar Rate to Inflation Surprises," Working Papers, University of Pretoria, Department of Economics, number 201215, May.
- Mauricio Labadie & Charles-Albert Lehalle, 2012, "Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall," Papers, arXiv.org, number 1205.3482, May, revised Dec 2013.