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Report NEP-MST-2017-04-23
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:
- Kathi Schlepper & Heiko Hofer & Ryan Riordan & Andreas Schrimpf, 2017, "Scarcity effects of QE: A transaction-level analysis in the Bund market," BIS Working Papers, Bank for International Settlements, number 625, Apr.
- F. Lilla, 2017, "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp1099, Apr.
- Alexis Stenfors, 2017, "Bid-Ask Spread Determination in the FX Swap Market: Competition, Collusion or a Convention?," Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group, number 2017-03, Apr.
- Hörner, Johannes & Lovo, Stefano, 2017, "Belief-free Price Formation," TSE Working Papers, Toulouse School of Economics (TSE), number 17-790, Mar.
- Mike Anderson & René M. Stulz, 2017, "Is Post-Crisis Bond Liquidity Lower?," NBER Working Papers, National Bureau of Economic Research, Inc, number 23317, Apr.
- Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017, "An empirical behavioural order-driven model with price limit rules," Papers, arXiv.org, number 1704.04354, Apr.
- Filip Zikes, 2017, "Measuring Transaction Costs in the Absence of Timestamps," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-045, Apr, DOI: 10.17016/FEDS.2017.045.