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Report NEP-MST-2016-09-25
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:
- Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2016, "Spoilt for choice: Order routing decisions in fragmented equity markets," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 143, DOI: 10.2139/ssrn.2839285.
- El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016, "The microstructural foundations of leverage effect and rough volatility," Papers, arXiv.org, number 1609.05177, Sep.
- Zhuo Zhong & Kei Kawakami, 2016, "The Risk Sharing BenefiÂ…t versus the Collateral Cost: The Formation of the Inter-Dealer Network in Over-the-Counter Trading," 2016 Meeting Papers, Society for Economic Dynamics, number 822.
- Robert Shimer & Gregor Jarosch & Maryam Farboodi, 2016, "Meeting Technologies in Decentralized Asset Markets," 2016 Meeting Papers, Society for Economic Dynamics, number 844.
- Shanshan Wang & Thomas Guhr, 2016, "Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Model," Papers, arXiv.org, number 1609.04890, Sep, revised Jul 2017.