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Report NEP-MST-2016-03-17
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:
- Alberto Bicci, 2016, "Limit Order Book and its modelling in terms of Gibbs Grand-Canonical Ensemble," Papers, arXiv.org, number 1602.06968, Jan, revised Feb 2016.
- Marcello Rambaldi & Emmanuel Bacry & Fabrizio Lillo, 2016, "The role of volume in order book dynamics: a multivariate Hawkes process analysis," Papers, arXiv.org, number 1602.07663, Feb.
- Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda, 2016, "Order Book, Financial Markets and Self-Organized Criticality," Papers, arXiv.org, number 1602.08270, Feb.
- Item repec:bfi:wpaper:1 is not listed on IDEAS anymore
- Gustavo Fruet Dias & Cristina M. Scherrer & Fotis Papailias, 2016, "Volatility Discovery," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-07, Feb.
- Yannick Le Pen & Benoît Sévi, 2013, "Futures trading and the excess comovement of commodity prices," Working Papers, Department of Research, Ipag Business School, number 2013-19, Jan.