Printed from https://ideas.repec.org/n/nep-mst/2017-01-08.html
Report NEP-MST-2017-01-08
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:
- Friedrich Hubalek & Paul Kruhner & Thorsten Rheinlander, 2017, "Brownian trading excursions and avalanches," Papers, arXiv.org, number 1701.00993, Jan.
- Antoine Jacquier & Hao Liu, 2017, "Optimal liquidation in a Level-I limit order book for large tick stocks," Papers, arXiv.org, number 1701.01327, Jan, revised Nov 2017.
- Bruno Bouchard & G Loeper & Y Zou, 2016, "Almost-sure hedging with permanent price impact," Post-Print, HAL, number hal-01133223, Jun, DOI: 10.1007/s00780-016-0295-1.
- Aurélien Alfonsi & Pierre Blanc, 2016, "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Post-Print, HAL, number hal-00971369, Jan, DOI: 10.1007/s00780-015-0282-y.
- Michael Schneider & Fabrizio Lillo, 2016, "Cross-impact and no-dynamic-arbitrage," Papers, arXiv.org, number 1612.07742, Dec, revised Aug 2017.
- Simon Clinet & Yoann Potiron, 2017, "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Papers, arXiv.org, number 1701.01185, Jan, revised Jun 2018.
- Tim Leung & Yerkin Kitapbayev, 2017, "Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach," Papers, arXiv.org, number 1701.00875, Jan, revised Jan 2017.