Report NEP-MST-2012-10-13This 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:
- Kovaleva, P. & Iori, G., 2012. "Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity," Working Papers 12/05, Department of Economics, City University London.
- Flavia Barsotti & Simona Sanfelici, 2012. "Microstructure effect on firm’s volatility risk," Working Papers - Mathematical Economics 2012-05, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Mark Podolskij & Christian Schmidt & Johanna Fasciati Ziegel, 2012. "Limit theorems for non-degenerate U-statistics of continuous semimartingales," CREATES Research Papers 2012-40, School of Economics and Management, University of Aarhus.
- Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Papers 1210.1625, arXiv.org, 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 12-34, Bank of Canada.
- Diego Moreno & John Wooders, 2012. "Dynamic markets for lemons : performance, liquidity, and policy intervention," Economics Working Papers we1226, Universidad Carlos III, Departamento de Economía.