Report NEP-MST-2016-04-23This 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.
The following items were announced in this report:
- Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2016. "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers 13-05 [rev.2], University of Cologne, Centre for Financial Research (CFR).
- Zhi Da & Borja Larrain & Clemens Sialm & José Tessada, 2016. "Coordinated Noise Trading: Evidence from Pension Fund Reallocations," NBER Working Papers 22161, National Bureau of Economic Research, Inc.
- Braun-Munzinger, Karen & Liu, Zijun & Turrell, Arthur, 2016. "An agent-based model of dynamics in corporate bond trading," Bank of England working papers 592, Bank of England.
- Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward, 2016. "Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty," Papers 1604.04963, arXiv.org, revised Apr 2017.
- Ioane Muni Toke, 2016. "Reconstruction of Order Flows using Aggregated Data," Papers 1604.02759, arXiv.org.
- Daniel Ladley & Guanqing Liu & James Rockey, 2016. "Margin Trading: Hedonic Returns and Real Losses," Discussion Papers in Economics 16/06, Department of Economics, University of Leicester.