Report NEP-MST-2011-05-30

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:

• Julien Chevallier & Benoît Sévi, 2011. "On the volatility-volume relationship in energy futures markets using intraday data," EconomiX Working Papers 2011-16, University of Paris Nanterre, EconomiX.
• Foucault, Thierry & Colliard, Jean-Edouard, 2011. "Trading Fees and Efficiency in Limit Order Markets," CEPR Discussion Papers 8395, C.E.P.R. Discussion Papers.
• Item repec:dgr:kubcen:2011047 is not listed on IDEAS anymore

• Alex Langnau & Yanko Punchev, 2011. "Stochastic Price Dynamics Implied By the Limit Order Book," Papers 1105.4789, arXiv.org.
• Hellström, Jörgen & Lönnbark, Carl, 2011. "Identification of jumps in financial price series," Umeå Economic Studies 827, Umeå University, Department of Economics.
• Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Dealing with the Inventory Risk. A solution to the market making problem," Papers 1105.3115, arXiv.org, revised Aug 2012.