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Report NEP-MST-2017-06-18
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:
- Felix Patzelt & Jean-Philippe Bouchaud, 2017, "Universal scaling and nonlinearity of aggregate price impact in financial markets," Papers, arXiv.org, number 1706.04163, Jun, revised Aug 2017.
- Massil Achab & Emmanuel Bacry & Jean-Franc{c}ois Muzy & Marcello Rambaldi, 2017, "Analysis of order book flows using a nonparametric estimation of the branching ratio matrix," Papers, arXiv.org, number 1706.03411, Jun.
- Suhan Altay & Katia Colaneri & Zehra Eksi, 2017, "Portfolio optimization for a large investor controlling market sentiment under partial information," Papers, arXiv.org, number 1706.03567, Jun.