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Report NEP-MST-2017-11-12
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:
- Joseph Noss & Lucas Pedace & Ondrej Tobek & Oliver Linton & Liam Crowley-Reidy, 2017, "The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets," Bank of England working papers, Bank of England, number 687, Oct.
- Auld, T. & Linton, O., 2017, "The Behaviour of Betting and Currency Markets on the Night of the EU Referendum," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1750, Nov.
- Martin Magris & Perttu Barholm & Juho Kanniainen, 2017, "Implied volatility smile dynamics in the presence of jumps," Papers, arXiv.org, number 1711.02925, Nov, revised May 2020.