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Report NEP-MST-2015-10-04
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:
- Alexander Schied & Elias Strehle & Tao Zhang, 2015, "High-frequency limit of Nash equilibria in a market impact game with transient price impact," Papers, arXiv.org, number 1509.08281, Sep, revised May 2017.
- Enzo Busseti & Stephen Boyd, 2015, "Volume Weighted Average Price Optimal Execution," Papers, arXiv.org, number 1509.08503, Sep.
- Ilze KALNINA & Kokouvi TEWOU, 2015, "Cross-sectional Dependence in Idiosyncratic Volatility," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 08-2015.
- Yacine Aït-Sahalia & Dacheng Xiu, 2015, "Principal Component Analysis of High Frequency Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 21584, Sep.
- Adda, Jérôme, 2015, "Economic Activity and the Spread of Viral Diseases: Evidence from High Frequency Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10842, Sep.
- Peter A. Bebbington & Reimer Kuehn, 2015, "Optimal trading strategies - a time series approach," Papers, arXiv.org, number 1509.07953, Sep, revised Mar 2016.
- Cathy Ning & Dinghai Xu & Tony Wirjanto, 2014, "Is Volatility Clustering of Asset Returns Asymmetric?," Working Papers, Toronto Metropolitan University, Department of Economics, number 050, Jun.