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Report NEP-MST-2017-09-03
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:
- Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2017, "Intraday Market Making with Overnight Inventory Costs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12245, Aug.
- Adrian, Tobias & Fleming, Michael J. & Shachar, Or & Vogt, Erik, 2017, "Market Liquidity after the Financial Crisis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12248, Aug.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017, "High-Frequency Jump Tests: Which Test Should We Use?," Papers, arXiv.org, number 1708.09520, Aug, revised Jan 2020.
- Kk{e}stutis Baltakys & Juho Kanniainen & Frank Emmert-Streib, 2017, "Multilayer Aggregation with Statistical Validation: Application to Investor Networks," Papers, arXiv.org, number 1708.09850, Aug, revised May 2018.