Report NEP-MST-2016-11-27

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:

• Wen-Jie Xie & Ming-Xia Li & Hai-Chuan Xu & Wei Chen & Wei-Xing Zhou & H. E. Stanley, 2016. "Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks," Papers 1611.06666, arXiv.org, revised Dec 2016.
• Venky Venkateswaran & Ariel Zetlin-Jones & Ali Shourideh & Benjamin Lester, 2016. "Adverse Selection, Search Frictions and Liquidity in Financial Markets," 2016 Meeting Papers 1438, Society for Economic Dynamics.
• Takatoshi Ito & Masahiro Yamada, 2016. "Puzzles in the Forex Tokyo “Fixing”: Order Imbalances and Biased Pricing by Banks," NBER Working Papers 22820, National Bureau of Economic Research, Inc.
• David Goldbaum, 2016. "Divergent behavior in markets with idiosyncratic private information," Working Paper Series 34, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
• Vijay Bhasin & Rebel A. Cole & Joseph K. Kiely, "undated". "Changes in REIT Liquidity 1990-94: Evidence from Intra-day Transactions," Finance and Economics Discussion Series 1996-22, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
• Vygintas Gontis, 2016. "Interplay between endogenous and exogenous fluctuations in financial markets," Papers 1611.06407, arXiv.org.