Report NEP-MST-2017-05-07This 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:
- Schlepper, Kathi & Riordan, Ryan & Hofer, Heiko & Schrimpf, Andreas, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," Discussion Papers 06/2017, Deutsche Bundesbank, Research Centre.
- Fr\'ed\'eric Abergel & C\^ome Hur\'e & Huy\^en Pham, 2017. "Algorithmic trading in a microstructural limit order book model," Papers 1705.01446, arXiv.org.
- Jakree Koosakul & Ilhyock Shim, 2017. "The beneficial aspect of FX volatility for market liquidity," BIS Working Papers 629, Bank for International Settlements.
- Azi Ben-Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2017. "Demand for Information and Asset Pricing," NBER Working Papers 23274, National Bureau of Economic Research, Inc.
- 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 631, Bank for International Settlements.
- Senarathne, Chamil W & Jayasinghe, Prabhath, 2017. "Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk," MPRA Paper 78771, University Library of Munich, Germany, revised 04 Apr 2017.