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.

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Other reports in NEP-MST

The following items were announced in this report:

• Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, 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 106, National Centre for Econometric Research.
• Ulrich Hounyo & Silvia Gonçalves & Nour Meddahi, 2016. "Bootstrapping pre-averaged realized volatility under market microstructure noise," CIRANO Working Papers 2016s-25, CIRANO.
• Alexandre de Carvalho & Alberto Sanyuan Suen & Felippe Gallo, 2016. "Market Efficiency in Brazil: some evidence from high-frequency data," Working Papers Series 431, Central Bank of Brazil, Research Department.
• Jack Sarkissian, 2016. "Quantum theory of securities price formation in financial markets," Papers 1605.04948, arXiv.org, revised May 2016.
• Taiga Saito & Akihiko Takahashi, 2017. "Derivatives Pricing with Market Impact and Limit Order Book," CARF F-Series CARF-F-385, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.