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Report NEP-MST-2017-02-12
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:
- Peter G. Dunne & Harald Hau & Michael Moore, 2012, "Dealer Intermediation between Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-29, Aug.
- Jakub Rojcek, 2016, "A Model of Price Impact and Market Maker Latency," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-56, Sep.
- Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016, "Sticky Expectations and the Profitability Anomaly," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-60, Nov.
- Olivier Rousse & Benoît Sévi, 2016, "Informed Trading in Oil-Futures Market," Working Papers, HAL, number hal-01410093, Dec, DOI: 10.2139/ssrn.2871932.
- Masaaki Fukasawa & Mitja Stadje, 2017, "Perfect hedging under endogenous permanent market impacts," Papers, arXiv.org, number 1702.01385, Feb.
- Jose E. Figueroa-Lopez & K. Lee, 2017, "Estimation of a noisy subordinated Brownian Motion via two-scales power variations," Papers, arXiv.org, number 1702.01164, Feb.
- Volodymyr Vovchak, 2012, "Liquidity and Liquidity Risk in the Cross-Section of Stock Returns," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-44, Jun.
- Blankespoor, Elizabeth & deHaan, Ed & Zhu, Christina, 2017, "Capital Market Effects of Media Synthesis and Dissemination: Evidence from Robo-Journalism," Research Papers, Stanford University, Graduate School of Business, number 3490, May.
- Kerstin Kehrle & Tatjana Xenia Puhan, 2012, "The Information Content of Option Demand," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 12-43, Oct.
- Sannikov, Yuliy & Skrzypacz, Andrzej, 2016, "Dynamic Trading: Price Inertia and Front-Running," Research Papers, Stanford University, Graduate School of Business, number 3487, Dec.