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Report NEP-MST-2016-11-20
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:
- Valseth, Siri, 2016, "Informed trading in Hybrid Bond Markets," UiS Working Papers in Economics and Finance, University of Stavanger, number 2016/13, Nov.
- Meling, Tom Grimstvedt & Odegaard, Bernt Arne, 2016, "Tick Size Wars," UiS Working Papers in Economics and Finance, University of Stavanger, number 2016/15, Nov.
- Georges Dionne & Xiaozhou Zhou, 2016, "The Dynamics of Ex-ante Weighted Spread: An Empirical Analysis," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 16-4, Nov.
- Tim Leung & Jamie Kang, 2016, "Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies," Papers, arXiv.org, number 1611.03110, Oct.
- Hai-Chuan Xu & Zhi-Qiang Jiang & Wei-Xing Zhou, 2016, "Immediate price impact of a stock and its warrant: Power-law or logarithmic model?," Papers, arXiv.org, number 1611.04091, Nov.
- David A. Cimon, 2016, "Broker Routing Decisions in Limit Order Markets," Staff Working Papers, Bank of Canada, number 16-50, DOI: 10.34989/swp-2017-50.
- Andre Veiga & Ansgar Walther, 2016, "Social Media, News Media and the Stock Market," Economics Series Working Papers, University of Oxford, Department of Economics, number Paper-805, Oct.
- F. Lilla, 2016, "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp1084, Nov.
- Paulwin Graewe & Ulrich Horst, 2016, "Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience," Papers, arXiv.org, number 1611.03435, Nov, revised Jul 2017.
- Amos Nadler & Veronika Alexander & Cameron J. Johnson & Paul J. Zak, 2016, "The Bull of Wall Street: Experimental Analysis of Testosterone and Asset Trading," Economics Series Working Papers, University of Oxford, Department of Economics, number 806, Oct.
- Albert Menkveld & Boyan Jovanovic, 2016, "Dispersion and Skewness of Bid Prices," 2016 Meeting Papers, Society for Economic Dynamics, number 1395.