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Report NEP-MST-2016-06-18
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:
- Donovan Platt & Tim Gebbie, 2016, "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers, arXiv.org, number 1606.01495, Jun, revised Mar 2017.
- Strasser, Georg & Kurov, Alexander & Sancetta, Alessio & Wolfe, Marketa Halova, 2016, "Price drift before U.S. macroeconomic news: private information about public announcements?," Working Paper Series, European Central Bank, number 1901, May.
- Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016, "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP12/16, Mar.
- Ebner, André & Fecht, Falko & Schulz, Alexander, 2016, "How central is central counterparty clearing? A deep dive into a European repo market during the crisis," Discussion Papers, Deutsche Bundesbank, number 14/2016.