Report NEP-MST-2013-06-24This 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:
- Gündüz, Yalin & Nasev, Julia & Trapp, Monika, 2013. "The price impact of CDS trading," Discussion Papers 20/2013, Deutsche Bundesbank.
- Omololu, Enoch & Frank, Julieta, 2013. "Estimating the Cost of Liquidity in Livestock Futures Markets using the Information Contained in the Limit Order Book," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150213, Agricultural and Applied Economics Association.
- Wei Chen, 2013. "Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty," Papers 1306.4070, arXiv.org.