Report NEP-MST-2013-03-16

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:

• Shilei Wang, 2013. "Dynamical Trading Mechanism in Limit Order Markets," Papers 1303.3133, arXiv.org.
• Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
• Yuta Koike, 2013. "Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling," Global COE Hi-Stat Discussion Paper Series gd12-276, Institute of Economic Research, Hitotsubashi University.
• Hautsch, Nikolaus & Kyj, Lada. M. & Malec, Peter, 2013. "Do high-frequency data improve high-dimensional portfolio allocations?," SFB 649 Discussion Papers 2013-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
• Item repec:ner:tilbur:urn:nbn:nl:ui:12-5663709 is not listed on IDEAS anymore

• Item repec:ner:toulou:http://neeo.univ-tlse1.fr/3354/ is not listed on IDEAS anymore