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Report NEP-MST-2017-01-15
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:
- Markus Engler & Vahidin Jeleskovic, 2016, "Intraday volatility, trading volume and trading intensity in the interbank market e-MID," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201648.
- Vives, Xavier & Cespa, Giovanni, 2016, "Market Transparency and Fragility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11732, Dec.
- Shanshan Wang, 2017, "Trading strategies for stock pairs regarding to the cross-impact cost," Papers, arXiv.org, number 1701.03098, Jan, revised Jul 2017.
- Phiri, Andrew, 2017, "Threshold convergence between the federal fund rate and South African equity returns around the colocation period," MPRA Paper, University Library of Munich, Germany, number 76039, Jan.
- Yuta Yamauchi & Yasuhiro Omori, 2016, "Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations ," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-1029, Nov.
- Li, Mengling & Zheng, Huanhuan & Chong, Terence Tai Leung & Zhang, Yang, 2016, "The Stock-Bond Comovements and Cross-Market Trading," MPRA Paper, University Library of Munich, Germany, number 75871, Sep.
- Olga Cielinska & Andreas Joseph & Ujwal Shreyas & John Tanner & Michalis Vasios, 2017, "Gauging market dynamics using trade repository data: the case of the Swiss franc de-pegging," Bank of England Financial Stability Papers, Bank of England, number 41, Jan.