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Report NEP-MST-2016-06-14
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:
- Peter Malec, 2016, "A Semiparametric Intraday GARCH Model," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1633, May.
- Roman Gayduk & Sergey Nadtochiy, 2016, "Endogenous Formation of Limit Order Books: Dynamics Between Trades," Papers, arXiv.org, number 1605.09720, May, revised Jun 2017.
- Shang, Quanbiao & Mallory, Mindy & Garcia, Philip, 2016, "The Electronic Live Cattle Futures Market Bid Ask Spread Behaviors and Components," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 235921, DOI: 10.22004/ag.econ.235921.
- Manuel Lafond, 2016, "How brokers can optimally plot against traders," Papers, arXiv.org, number 1605.04949, Apr, revised Jun 2022.
- Nathaniel Wuerffel, 2016, "Market structure and liquidity in the U.S. Treasury and agency mortgage-backed security (MBS) markets: Mortgage Bankers Association National Secondary Market Conference and Expo, New York City, May 2016," Speech, Federal Reserve Bank of New York, number 210, May.
- Zuppiroli, Marco & Donati, Michele & Riani, Marco & Verga, Giovanni, 2015, "The Impact of Trading Activity in Agricultural Futures Markets," 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy, Italian Association of Agricultural and Applied Economics (AIEAA), number 207848, Jun, DOI: 10.22004/ag.econ.207848.
- Mehmet Balcilar & Matteo Bonato & Riza Demirer & Rangan Gupta, 2016, "The Effect of Investor Sentiment on Gold Market Dynamics," Working Papers, University of Pretoria, Department of Economics, number 201638, May.
- Gloria Gonzalez-Rivera & Wei Lin, 2016, "Extreme Returns and Intensity of Trading," Working Papers, University of California at Riverside, Department of Economics, number 201607, Apr.