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Report NEP-MST-2014-06-07
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:
- Kevin Sheppard & Wen Xu, 2014, "Factor High-Frequency Based Volatility (HEAVY) Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 710, May.
- Vivien Lespagnol & Juliette Rouchier, 2014, "Trading Volume and Market Efficiency: An Agent Based Model with Heterogenous Knowledge about Fundamentals," Working Papers, HAL, number halshs-00997573, May.
- Christopher S Kirk, 2014, "Integration of a Predictive, Continuous Time Neural Network into Securities Market Trading Operations," Papers, arXiv.org, number 1406.0968, Jun.
- Fabio Dercole & Davide Radi, 2014, "Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics," Papers, arXiv.org, number 1405.7747, May.
- Alexander M. G. Cox & Zhaoxu Hou & Jan Obloj, 2014, "Robust pricing and hedging under trading restrictions and the emergence of local martingale models," Papers, arXiv.org, number 1406.0551, Jun, revised Jun 2015.