Report NEP-MST-2015-05-22

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:

• Xin Guo & Zhao Ruan & Lingjiong Zhu, 2015. "Dynamics of Order Positions and Related Queues in a Limit Order Book," Papers 1505.04810, arXiv.org, revised Oct 2015.
• Weibing Huang & Mathieu Rosenbaum, 2015. "Ergodicity and diffusivity of Markovian order book models: a general framework," Papers 1505.04936, arXiv.org.
• Geromichalos, Athanasios & Jung, Kuk Mo, 2015. "An Over-the-Counter Approach to the FOREX Market," MPRA Paper 64402, University Library of Munich, Germany.
• Manabu Asai & Michael McAleer, 2015. "The Impact of Jumps and Leverage in Forecasting Co-Volatility," Documentos de Trabajo del ICAE 2015-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.