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Report NEP-MST-2016-05-21
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:
- Olivier Gu'eant, 2016, "Optimal market making," Papers, arXiv.org, number 1605.01862, May, revised May 2017.
- Adam Clements & Joanne Fuller & Vasilios Papalexiou, 2015, "Public news flow in intraday component models for trading activity and volatility," NCER Working Paper Series, National Centre for Econometric Research, number 106, Aug.
- Ulrich Hounyo & Silvia Gonçalves & Nour Meddahi, 2016, "Bootstrapping pre-averaged realized volatility under market microstructure noise," CIRANO Working Papers, CIRANO, number 2016s-25, May.
- Alexandre de Carvalho & Alberto Sanyuan Suen & Felippe Gallo, 2016, "Market Efficiency in Brazil: some evidence from high-frequency data," Working Papers Series, Central Bank of Brazil, Research Department, number 431, May.
- Jack Sarkissian, 2016, "Quantum theory of securities price formation in financial markets," Papers, arXiv.org, number 1605.04948, Apr, revised May 2016.
- Taiga Saito & Akihiko Takahashi, 2017, "Derivatives Pricing with Market Impact and Limit Order Book," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-385, Jun.