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Report NEP-MST-2016-02-04
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:
- Alexandru Mandes, 2015, "Impact of inventory-based electronic liquidity providers within a high-frequency event- and agent-based modeling framework," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201515.
- Anatoliy Swishchuk & Nelson Vadori, 2016, "A Semi-Markovian Modeling of Limit Order Markets," Papers, arXiv.org, number 1601.01710, Jan.
- Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016, "Trading Strategy with Stochastic Volatility in a Limit Order Book Market," Papers, arXiv.org, number 1602.00358, Jan.
- Karsten Neuhoff & Nolan Ritter & Aymen Salah-Abou-El-Enien & Philippe Vassilopoulos, 2016, "Intraday Markets for Power: Discretizing the Continuous Trading?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1544.
- Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2014, "Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2014-12, Sep.
- KALNINA, Ilze, 2015, "Inference for nonparametric high-frequency estimators with an application to time variation in betas," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2015-08.