Report NEP-MST-2017-07-02This 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:
- Kentaro Iwatsubo & Clinton Watkins & Tao Xu, 2017. "Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York," Discussion Papers 1715, Graduate School of Economics, Kobe University.
- Knoll, Julian & Stübinger, Johannes & Grottke, Michael, 2017. "Exploiting social media with higher-order Factorization Machines: Statistical arbitrage on high-frequency data of the S&P 500," FAU Discussion Papers in Economics 13/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Anatoliy Swishchuk, 2017. "General Compound Hawkes Processes in Limit Order Books," Papers 1706.07459, arXiv.org, revised Jun 2017.
- Ron Berndsen & Ronald Heijmans, 2017. "Risk indicators for financial market infrastructure: from high frequency transaction data to a traffic light signal," DNB Working Papers 557, Netherlands Central Bank, Research Department.