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Report NEP-MST-2015-11-21
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:
- Xin Liu & Qi Gong & Vidyadhar G. Kulkarni, 2015, "A Stochastic Model of Order Book Dynamics using Bouncing Geometric Brownian Motions," Papers, arXiv.org, number 1511.04096, Nov, revised Mar 2016.
- Daniel Havran & Kata Varadi, 2015, "Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1540, Aug.
- Julius Bonart & Martin Gould, 2015, "Latency and liquidity provision in a limit order book," Papers, arXiv.org, number 1511.04116, Nov, revised Jun 2016.
- Cecilia Parlatore & Ana Babus, 2015, "Information Asymmetry and Market Fragmentation," 2015 Meeting Papers, Society for Economic Dynamics, number 1306.
- Frédéric Abergel & Aymen Jedidi, 2015, "Long-Time Behavior of a Hawkes Process--Based Limit Order Book," Post-Print, HAL, number hal-01121711, Nov, DOI: 10.1137/15m1011469.
- Kiesel, Ruediger & Paraschiv, Florentina, 2015, "Econometric Analysis of 15-minute Intraday Electricity Prices," Working Papers on Finance, University of St. Gallen, School of Finance, number 1521, Oct.
- Peter Hördahl & Eli M Remolona & Giorgio Valente, 2015, "Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve," BIS Working Papers, Bank for International Settlements, number 527, Nov.