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Report NEP-MST-2017-10-22
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:
- Hou, Yang & Nartea, Gilbert, 2017, "Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash," MPRA Paper, University Library of Munich, Germany, number 81995, Oct.
- Ilija I. Zovko, 2017, "Navigating dark liquidity (How Fisher catches Poisson in the Dark)," Papers, arXiv.org, number 1710.06350, Oct.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017, "Dynamic asset price jumps and the performance of high frequency tests and measures," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 14/17.
- Michael Benzaquen & Jean-Philippe Bouchaud, 2017, "Market impact with multi-timescale liquidity," Papers, arXiv.org, number 1710.03734, Oct, revised Oct 2017.
- Hou, Yang & Li, Steven, 2017, "Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets," MPRA Paper, University Library of Munich, Germany, number 81999, Oct.