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Report NEP-MST-2015-05-22
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:
- Xin Guo & Zhao Ruan & Lingjiong Zhu, 2015, "Dynamics of Order Positions and Related Queues in a Limit Order Book," Papers, arXiv.org, number 1505.04810, May, revised Oct 2015.
- Weibing Huang & Mathieu Rosenbaum, 2015, "Ergodicity and diffusivity of Markovian order book models: a general framework," Papers, arXiv.org, number 1505.04936, May.
- Geromichalos, Athanasios & Jung, Kuk Mo, 2015, "An Over-the-Counter Approach to the FOREX Market," MPRA Paper, University Library of Munich, Germany, number 64402.
- Manabu Asai & Michael McAleer, 2015, "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2015-02, Feb.