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Report NEP-MST-2015-05-16
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:
- Tetsuo Kurosaki & Yusuke Kumano & Kota Okabe & Teppei Nagano, 2015, "Liquidity in JGB Markets: An Evaluation from Transaction Data," Bank of Japan Working Paper Series, Bank of Japan, number 15-E-2, May.
- Thai Huu Nguyen & Serguei Pergamenschchikov, 2015, "Approximate hedging with proportional transaction costs in stochastic volatility models with jumps," Papers, arXiv.org, number 1505.02627, May, revised Sep 2019.
- Shin S. Ikeda, 2015, "Illiquidity in the Japanese Day-Ahead Electricity Market," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 15-04, May.
- Schweizer, Nikolaus & Szech, Nora, 2015, "Revenues and welfare in auctions with information release," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 67, DOI: 10.5445/IR/1000047103.
- Ulrich Hounyo & Bezirgen Veliyev, 2015, "Validity of Edgeworth expansions for realized volatility estimators," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-21, May.