Report NEP-MST-2017-01-08This 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:
- Friedrich Hubalek & Paul Kruhner & Thorsten Rheinlander, 2017. "Brownian trading excursions and avalanches," Papers 1701.00993, arXiv.org.
- Antoine Jacquier & Hao Liu, 2017. "Optimal liquidation in a Level-I limit order book for large tick stocks," Papers 1701.01327, arXiv.org, revised Nov 2017.
- Bruno Bouchard & G Loeper & Y Zou, 2016. "Almost-sure hedging with permanent price impact," Post-Print hal-01133223, HAL.
- Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Post-Print hal-00971369, HAL.
- Michael Schneider & Fabrizio Lillo, 2016. "Cross-impact and no-dynamic-arbitrage," Papers 1612.07742, arXiv.org, revised Aug 2017.
- Simon Clinet & Yoann Potiron, 2017. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Papers 1701.01185, arXiv.org, revised Jun 2018.
- Tim Leung & Yerkin Kitapbayev, 2017. "Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach," Papers 1701.00875, arXiv.org, revised Jan 2017.