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Report NEP-MST-2012-10-13
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:
- Kovaleva, P. & Iori, G., 2012, "Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity," Working Papers, Department of Economics, City St George's, University of London, number 12/05.
- Flavia Barsotti & Simona Sanfelici, 2012, "Microstructure effect on firm’s volatility risk," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2012-05, Oct.
- Mark Podolskij & Christian Schmidt & Johanna Fasciati Ziegel, 2012, "Limit theorems for non-degenerate U-statistics of continuous semimartingales," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-40, Oct.
- Rama Cont & Arseniy Kukanov, 2012, "Optimal order placement in limit order markets," Papers, arXiv.org, number 1210.1625, Oct, revised Nov 2014.
- Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi, 2012, "The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation," Staff Working Papers, Bank of Canada, number 12-34, DOI: 10.34989/swp-2012-34.
- Moreno, Diego & Wooders, John, 2012, "Dynamic markets for lemons : performance, liquidity, and policy intervention," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa, number we1226, Sep.