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