Report NEP-MST-2013-10-11This 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:
- Pietro Fodra & Huyen Pham, 2013. "High frequency trading in a Markov renewal model," Working Papers hal-00867113, HAL.
- Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
- Jose Blanchet & Xinyun Chen, 2013. "Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books," Papers 1310.1103, arXiv.org.
- Marine Carrasco & Rachidi Kotchoni, 2013. "Adaptive Realized Kernels," Working Papers hal-00867967, HAL.