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Report NEP-MST-2016-01-29
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:
- Georges Dionne & Xiaozhou Zhou, 2016, "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 15-5, Jan.
- Evangelos Benos & Richard Payne & Michalis Vasios, 2016, "Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act," Bank of England working papers, Bank of England, number 580, Jan.
- Justin Sirignano, 2016, "Deep Learning for Limit Order Books," Papers, arXiv.org, number 1601.01987, Jan, revised Jul 2016.
- Yao, Wenying & Tian, Jing, 2015, "The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2015-05.
- Jonas Hallgren & Timo Koski, 2016, "Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data," Papers, arXiv.org, number 1601.06651, Jan.
- Sayaeed, Mohammad Abu & Dungey, Mardi & Yao, Wenying, 2015, "High frequency characterization of Indian banking stocks," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2015-04, Feb.
- Artur Aiguzhinov & Ana Paula Serra & Carlos Soares, 2016, "Are rankings of financial analysts useful to investors?," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 1604, Jan.
- Tim Leung & Jiao Li & Xin Li & Zheng Wang, 2016, "Speculative Futures Trading under Mean Reversion," Papers, arXiv.org, number 1601.04210, Jan.