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Report NEP-MST-2017-07-09
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:
- Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino, 2017, "Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-411, Jun.
- Federico Gonzalez & Mark Schervish, 2017, "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers, arXiv.org, number 1707.01167, Jul, revised Oct 2017.
- Biais, Bruno & Declerck, Fany & Moinas, Sophie, 2017, "Who supplies liquidity, how and when?," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 874, Jun.
- Hollifield, Burton & Sandås, Patrik & Todd, Andrew, 2017, "Latency Arbitrage When Markets Become Faster," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 338, May.
- Ripamonti, Alexandre, 2016, "Corwin-Schultz bid-ask spread estimator in the Brazilian stock market," MPRA Paper, University Library of Munich, Germany, number 79459.
- Carol Osler & Alasdair Turnbull, 2016, "Dealer Trading at the Fix," Working Papers, Brandeis University, Department of Economics and International Business School, number 101R, Mar, revised Jun 2017.