Report NEP-MST-2015-12-28

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:

• Richard Y. Chen & Per A. Mykland, 2015. "Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data," Papers 1512.06159, arXiv.org, revised Oct 2018.
• Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, 2015. "Extrapolation and Bubbles," Working Paper 357401, Harvard University OpenScholar.
• Ilze KALNINA, 2015. "Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," Cahiers de recherche 13-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
• Abhijit Sharang & Chetan Rao, 2015. "Using machine learning for medium frequency derivative portfolio trading," Papers 1512.06228, arXiv.org.
• Darrell Duffie & Haoxiang Zhu, 2015. "Size Discovery," NBER Working Papers 21696, National Bureau of Economic Research, Inc.