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.

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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 1633, Faculty of Economics, University of Cambridge.
• Roman Gayduk & Sergey Nadtochiy, 2016. "Endogenous Formation of Limit Order Books: Dynamics Between Trades," Papers 1605.09720, arXiv.org, 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 235921, Agricultural and Applied Economics Association.
• Manuel Lafond, 2016. "How brokers can optimally plot against traders," Papers 1605.04949, arXiv.org, 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 20," Speech 210, Federal Reserve Bank of New York.
• 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 207848, Italian Association of Agricultural and Applied Economics (AIEAA).
• Mehmet Balcilar & Matteo Bonato & Riza Demirer & Rangan Gupta, 2016. "The Effect of Investor Sentiment on Gold Market Dynamics," Working Papers 201638, University of Pretoria, Department of Economics.
• Gloria Gonzalez-Rivera & Wei Lin, 2016. "Extreme Returns and Intensity of Trading," Working Papers 201607, University of California at Riverside, Department of Economics.