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Report NEP-MST-2017-10-08
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:
- Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti & Uno, Jun & Yuferova, Darya, 2017, "Coming early to the party," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 182, DOI: 10.2139/ssrn.3038699.
- Endres, Sylvia & Stübinger, Johannes, 2017, "Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 17/2017.
- Vincent van Kervel & Albert J. Menkveld, 2017, "High-Frequency Trading around Large Institutional Orders," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-092/IV, Sep.
- Cheng Liu & Ningning Xia & Jun Yu, 2016, "Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data," Economics and Statistics Working Papers, Singapore Management University, School of Economics, number 14-2016, Nov.
- Dare, Wale & Fengler, Matthias, 2017, "Global estimation of realized spot volatility in the presence of price jumps," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1715, Sep.