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Report NEP-MST-2017-05-07
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:
- Schlepper, Kathi & Riordan, Ryan & Hofer, Heiko & Schrimpf, Andreas, 2017, "Scarcity effects of QE: A transaction-level analysis in the Bund market," Discussion Papers, Deutsche Bundesbank, number 06/2017.
- Fr'ed'eric Abergel & C^ome Hur'e & Huy^en Pham, 2017, "Algorithmic trading in a microstructural limit order book model," Papers, arXiv.org, number 1705.01446, May, revised Feb 2020.
- Jakree Koosakul & Ilhyock Shim, 2017, "The beneficial aspect of FX volatility for market liquidity," BIS Working Papers, Bank for International Settlements, number 629, Apr.
- Azi Ben-Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2017, "Demand for Information and Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 23274, Mar.
- Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2017, "Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets," BIS Working Papers, Bank for International Settlements, number 631, Apr.
- Senarathne, Chamil W & Jayasinghe, Prabhath, 2017, "Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk," MPRA Paper, University Library of Munich, Germany, number 78771, Mar, revised 04 Apr 2017.