Report NEP-MST-2017-03-05This 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.
The following items were announced in this report:
- Cespa, Giovanni & Vives, Xavier, 2017. "High frequency trading and fragility," Working Paper Series 2020, European Central Bank.
- Lorenzo Camponovo & Yukitoshi Matsushita & Taisuke Otsu, 2017. "Empirical likelihood for high frequency data," STICERD - Econometrics Paper Series 591, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Francesco Cerigioni, 2016. "Dual decision processes and noise trading," Economics Working Papers 1553, Department of Economics and Business, Universitat Pompeu Fabra.
- Bence Toth & Zoltan Eisler & Jean-Philippe Bouchaud, 2017. "The short-term price impact of trades is universal," Papers 1702.08029, arXiv.org, revised Jan 2018.