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Report NEP-MST-2013-12-15
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:
- Rene Carmona & Kevin Webster, 2013, "The Self-Financing Equation in High Frequency Markets," Papers, arXiv.org, number 1312.2302, Dec.
- Yoichi Otsubo & Bruce Mizrach, 2012, "The Market Microstructure of the European Climate Exchange," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-7.
- Yoichi Otsubo, 2012, "Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-6.
- Valerii Salov, 2013, "Optimal Trading Strategies as Measures of Market Disequilibrium," Papers, arXiv.org, number 1312.2004, Dec.
- Fabian Irek & Thorsten Lehnert & Nicolas Martelin, 2012, "Noise Trading and the Cross-Section of Index Option Prices," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-1.
- Frank Schorfheide & Dongho Song, 2013, "Real-Time Forecasting with a Mixed-Frequency VAR," NBER Working Papers, National Bureau of Economic Research, Inc, number 19712, Dec.
- Yoichi Otsubo, 2012, "Price Discovery of Tokyo-New York Cross-listed Stocks," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-5.