Report NEP-MST-2013-12-15

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:

• Rene Carmona & Kevin Webster, 2013. "The Self-Financing Equation in High Frequency Markets," Papers 1312.2302, arXiv.org.
• Yoichi Otsubo & Bruce Mizrach, 2012. "The Market Microstructure of the European Climate Exchange," LSF Research Working Paper Series 12-7, Luxembourg School of Finance, University of Luxembourg.
• Yoichi Otsubo, 2012. "Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market," LSF Research Working Paper Series 12-6, Luxembourg School of Finance, University of Luxembourg.
• Valerii Salov, 2013. "Optimal Trading Strategies as Measures of Market Disequilibrium," Papers 1312.2004, arXiv.org.
• Fabian Irek & Thorsten Lehnert & Nicolas Martelin, 2012. "Noise Trading and the Cross-Section of Index Option Prices," LSF Research Working Paper Series 12-1, Luxembourg School of Finance, University of Luxembourg.
• Frank Schorfheide & Dongho Song, 2013. "Real-Time Forecasting with a Mixed-Frequency VAR," NBER Working Papers 19712, National Bureau of Economic Research, Inc.
• Yoichi Otsubo, 2012. "Price Discovery of Tokyo-New York Cross-listed Stocks," LSF Research Working Paper Series 12-5, Luxembourg School of Finance, University of Luxembourg.