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Report NEP-MST-2017-08-27
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:
- Paolo Barucca & Fabrizio Lillo, 2017, "Behind the price: on the role of agent's reflexivity in financial market microstructure," Papers, arXiv.org, number 1708.07047, Aug.
- Peijnenburg, Kim & Parise, Gianpaolo & Nefedova, Tamara & Eisele, Alexander, 2017, "Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12225, Aug.
- Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2016, "Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2016-03, Dec.
- Lucas Marc Fuhrer, 2017, "Liquidity in the Repo Market," Working Papers, Swiss National Bank, number 2017-06.
- Taiga Saito & Akihiko Takahashi, 2017, "Derivatives Pricing with Market Impact and Limit Order Book (Forthcoming in Automatica.)(Revised version of F-385)," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-417, Aug.
- Ulrich Horst & Dorte Kreher, 2017, "Second order approximations for limit order books," Papers, arXiv.org, number 1708.07394, Aug, revised Mar 2018.