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Report NEP-MST-2015-01-31
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:
- Dirk Becherer & Todor Bilarev & Peter Frentrup, 2015, "Optimal Asset Liquidation with Multiplicative Transient Price Impact," Papers, arXiv.org, number 1501.01892, Jan, revised Apr 2017.
- Efstathios Panayi & Gareth Peters, 2015, "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers, arXiv.org, number 1501.02447, Jan, revised Jan 2015.
- Filippo Passerini & Samuel E. Vazquez, 2015, "Optimal Trading with Alpha Predictors," Papers, arXiv.org, number 1501.03756, Jan, revised Jan 2015.
- Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu, 2015, "Nonparametric likelihood for volatility under high frequency data," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number /2015/581, Jan.
- Hoechle, Daniel & Ruenzi, Stefan & Schaub, Nic & Schmid, Markus, 2014, "The Impact of Financial Advice on Trade Performance and Behavioral Biases," Working Papers on Finance, University of St. Gallen, School of Finance, number 1419, Dec, revised Dec 2015.