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Report NEP-MST-2016-03-06
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:
- Ioane Muni Toke, 2015, "The order book as a queueing system: average depth and influence of the size of limit orders," Post-Print, HAL, number hal-01006410, May, DOI: 10.1080/14697688.2014.963654.
- Ulrich Horst & Dorte Kreher, 2015, "A weak law of large numbers for a limit order book model with fully state dependent order dynamics," Papers, arXiv.org, number 1502.04359, Feb, revised May 2016.
- Xin Huang, 2015, "Macroeconomic News Announcements, Systemic Risk, Financial Market Volatility and Jumps," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-97, Oct, DOI: 10.17016/FEDS.2015.097.
- Oleg Chuprinin & Massimo Massa & Bastian von Beschwitz, 2015, "Why Do Short Sellers Like Qualitative News?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1149, Nov, DOI: 10.17016/IFDP.2015.1149.
- Fecht, Falko & Reitz, Stefan & Weber, Patrick, 2015, "On the role of market makers for money market liquidity and tensions," Kiel Working Papers, Kiel Institute for the World Economy, number 2013.