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Report NEP-MST-2016-07-09
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:
- Jack Sarkissian, 2016, "Spread, volatility, and volume relationship in financial markets and market making profit optimization," Papers, arXiv.org, number 1606.07381, Jun.
- Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang, 2016, "Limit order trading with a mean reverting reference price," Papers, arXiv.org, number 1607.00454, Jul, revised Nov 2016.
- Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda, 2016, "A multilayer approach for price dynamics in financial markets," Papers, arXiv.org, number 1606.09194, Jun.
- Geert Dhaene & Jianbin Wu, 2016, "Mixed-frequency multivariate GARCH," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number 544330, Jun.