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Report NEP-MST-2017-12-18
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:
- Jaewon Choi & Yesol Huh, 2017, "Customer Liquidity Provision : Implications for Corporate Bond Transaction Costs," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-116, Nov, DOI: 10.17016/FEDS.2017.116.
- Anatoliy Swishchuk & Bruno Remillard & Robert Elliott & Jonathan Chavez-Casillas, 2017, "Compound Hawkes Processes in Limit Order Books," Papers, arXiv.org, number 1712.03106, Dec.
- Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2017, "Jumps in Commodity Markets," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-615, Nov.
- Aleksander Berentsen & Benjamin Müller, 2017, "A Tale of Fire-Sales and Liquidity Hoarding," Working Papers, Swiss National Bank, number 2017-16.
- Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2017, "The Price Effects of Liquidity Shocks: A Study of SEC’s Tick-Size Experiment," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12486, Dec.