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Report NEP-MST-2015-01-03
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- George Jiang & Ingrid Lo & Giorgio Valente, 2014, "High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market," Staff Working Papers, Bank of Canada, number 14-56, DOI: 10.34989/swp-2014-56.
- Tolga Cenesizoglu & Georges Dionne & Xiaozhou Zhou, 2014, "Effects of the Limit Order Book on Price Dynamics," Cahiers de recherche, CIRPEE, number 1426.
- Taneli M�kinen, 2014, "Informed trading and stock market efficiency," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 992, Oct.
- Robert Novy-Marx & Mihail Velikov, 2014, "A Taxonomy of Anomalies and their Trading Costs," NBER Working Papers, National Bureau of Economic Research, Inc, number 20721, Dec.
- Cristina M. Scherrer, 2014, "Cross listing: price discovery dynamics and exchange rate effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-53, Dec.
- Jonathan Donier & Julius Bonart, 2014, "A Million Metaorder Analysis of Market Impact on the Bitcoin," Papers, arXiv.org, number 1412.4503, Dec, revised Sep 2015.
- Jonathan Donier & Julius Bonart & Iacopo Mastromatteo & Jean-Philippe Bouchaud, 2014, "A fully consistent, minimal model for non-linear market impact," Papers, arXiv.org, number 1412.0141, Nov, revised Mar 2015.
- Leighton Vaughan Williams & James Reade, 2014, "Prediction Markets, Twitter and Bigotgate," Economics Discussion Papers, Department of Economics, University of Reading, number em-dp2014-09, Nov.