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Report NEP-MST-2017-02-26
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:
- Alessio Sancetta, 2017, "Estimation for the Prediction of Point Processes with Many Covariates," Papers, arXiv.org, number 1702.05315, Feb.
- Andreas Karpf & Antoine Mandel & Stefano Battiston, 2017, "Price and Network Dynamics in the European Carbon Market," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 17010, Feb.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2017, "On the gains of using high frequency data and higher moments in Portfolio Selection," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2017-02, Feb.
- Adarsh Kulkarni & Priya Mani & Carlotta Domeniconi, 2017, "Network-based Anomaly Detection for Insider Trading," Papers, arXiv.org, number 1702.05809, Feb.
- J. M. Chen & A. G. Hawkes & E. Scalas & M. Trinh, 2017, "Performance of information criteria used for model selection of Hawkes process models of financial data," Papers, arXiv.org, number 1702.06055, Feb, revised Apr 2017.
- David A. Cimon & Corey Garriott, 2017, "Banking Regulation and Market Making," Staff Working Papers, Bank of Canada, number 17-7, DOI: 10.34989/swp-2017-7.
- Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2017, "The amazing power of dimensional analysis: Quantifying market impact," Papers, arXiv.org, number 1702.05434, Feb, revised Sep 2017.