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Report NEP-MST-2016-02-23
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:
- Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas, 2016, "Modeling and forecasting exchange rate volatility in time-frequency domain," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 55.
- Jozef Barunik & Lukas Vacha, 2016, "Do co-jumps impact correlations in currency markets?," Papers, arXiv.org, number 1602.05489, Feb, revised Oct 2017.
- Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy, 2015, "Hawkes processes in finance," Papers, arXiv.org, number 1502.04592, Feb, revised May 2015.
- Nathalie Oriol & Iryna Veryzhenko, 2015, "Market structure or traders’ behavior? An assessment of flash crash phenomena and their regulation based on a multi-agent simulation," Working Papers, HAL, number halshs-01254435, May.
- Ioane Muni Toke & Nakahiro Yoshida, 2016, "Modelling intensities of order flows in a limit order book," Papers, arXiv.org, number 1602.03944, Feb.
- Michael Benzaquen & Jonathan Donier & Jean-Philippe Bouchaud, 2016, "Unravelling the trading invariance hypothesis," Papers, arXiv.org, number 1602.03011, Feb, revised Sep 2016.
- Abdi, Farshid & Ranaldo, Angelo, 2016, "A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency e," Working Papers on Finance, University of St. Gallen, School of Finance, number 1604, Jan, revised Apr 2017.
- Masashi Ieda, 2015, "A dynamic optimal execution strategy under stochastic price recovery," Papers, arXiv.org, number 1502.04521, Feb.
- Michael Ho & Jack Xin, 2016, "Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps," Papers, arXiv.org, number 1602.02185, Feb, revised Apr 2016.