Report NEP-MST-2017-06-25This 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:
- Alexis Stenfors & Masayuki Susai, 2017. "Liquidity Withdrawal in the FX Spot Market: A Cross-Country Study Using High-Frequency Data," Working Papers in Economics & Finance 2017-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Gwilym, Owain Ap & Wang, Qvigwei & Hasan, Iftekhar & Xie, Ru, 2013. "In search of concepts : The effects of speculative demand on returns and volume," Research Discussion Papers 10/2013, Bank of Finland.
- Mateusz Wilinski & Yuichi Ikeda & Hideaki Aoyama, 2017. "Complex Correlation Approach for High Frequency Financial Data," Papers 1706.06355, arXiv.org, revised Nov 2017.
- Efraim Benmelech & Nittai K. Bergman, 2017. "Credit Market Freezes," NBER Working Papers 23512, National Bureau of Economic Research, Inc.
- Marco Di Maggio & Francesco Franzoni & Amir Kermani & Carlo Sommavilla, 2017. "The Relevance of Broker Networks for Information Diffusion in the Stock Market," NBER Working Papers 23522, National Bureau of Economic Research, Inc.