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Report NEP-MST-2016-04-04
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:
- Yoshida, Yushi & Susai, Masayuki, 2016, "Stepping out of the limit order book: Empirical evidence from the EBS FX market," MPRA Paper, University Library of Munich, Germany, number 70291, Mar.
- Vladislav Gennadievich Malyshkin & Ray Bakhramov, 2016, "Market Dynamics vs. Statistics: Limit Order Book Example," Papers, arXiv.org, number 1603.05313, Mar, revised Mar 2016.
- Curatola, Giuliano, 2016, "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 128, DOI: 10.2139/ssrn.2747269.
- Richard J Martin, 2016, "Universal trading under proportional transaction costs," Papers, arXiv.org, number 1603.06558, Mar.
- Missaka Warusawitharana, 2016, "Time-varying Volatility and the Power Law Distribution of Stock Returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-022, Mar, DOI: 10.17016/FEDS.2016.022.
- Yoann Potiron & Per Mykland, 2016, "Local Parametric Estimation in High Frequency Data," Papers, arXiv.org, number 1603.05700, Mar, revised Aug 2018.
- Claudio Altafini, 2016, "The geometric phase of stock trading," Papers, arXiv.org, number 1603.05513, Mar.
- Liu, Yuna, 2016, "Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers," Umeå Economic Studies, Umeå University, Department of Economics, number 925, Mar.