Financial Econometrics and Empirical Market Microstructure

Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets.- Evidence of Microstructure Variables' Nonlinear Dynamics from Noised High-Frequency Data.- Revisiting of Empirical Zero Intelligence Models.- Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market.- Modeling Financial Market Using Percolation Theory.- How Tick Size Affects the High Frequency Scaling of Stock Return Distributions.- Market Shocks: Review of Studies.- The Synergy of Rating Agencies' Efforts: Russian Experience.- Spread Modelling Under Asymmetric Information.- On the Modeling of Financial Time Series.- Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information.- On Some Approaches to Managing Market Risk Using Var Limits: A Note.- Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets.- Raising Issues About Impact of High Frequency Trading on Market Liquidity.- Application of Copula Models for Modeling One-Dimensional Time Series.- Modeling Demand for Mortgage Loans Using Loan-Level Data.- Sample Selection Bias in Mortgage Market Credit Risk Modeling.- Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence.- Stress-Testing Model for Corporate Borrower Portfolios.