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Report NEP-MST-2017-09-10
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:
- Rene Carmona & Kevin Webster, 2017, "The microstructure of high frequency markets," Papers, arXiv.org, number 1709.02015, Sep.
- Dat Thanh Tran & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2017, "Tensor Representation in High-Frequency Financial Data for Price Change Prediction," Papers, arXiv.org, number 1709.01268, Sep, revised Nov 2017.
- Paulwin Graewe & Ulrich Horst & Eric Séré, 2018, "Smooth Solutions to Portfolio Liquidation Problems under Price-Sensitive Market Impact," Post-Print, HAL, number hal-01540537, Mar, DOI: 10.1016/j.spa.2017.06.013.
- Ulrich Horst & Wei Xu, 2017, "A Scaling Limit for Limit Order Books Driven by Hawkes Processes," Papers, arXiv.org, number 1709.01292, Sep, revised Aug 2018.
- Carlos Cantú, 2017, "Effects of capital controls on foreign exchange liquidity," BIS Working Papers, Bank for International Settlements, number 659, Aug.