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Report NEP-MST-2018-02-26
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:
- Shan Lu & Jichang Zhao & Huiwen Wang, 2018, "The Power of Trading Polarity: Evidence from China Stock Market Crash," Papers, arXiv.org, number 1802.01143, Feb.
- Damien Challet & Nikita Gourianov, 2018, "Dynamical regularities of US equities opening and closing auctions," Papers, arXiv.org, number 1802.01921, Feb, revised Oct 2018.
- Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2018, "Judgement Day: algorithmic trading around the Swiss franc cap removal," Bank of England working papers, Bank of England, number 711, Feb.
- Kristyna Ters & Jörg Urban, 2018, "Estimating unknown arbitrage costs: evidence from a three-regime threshold vector error correction model," BIS Working Papers, Bank for International Settlements, number 689, Jan.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017, "Discriminatory pricing of over-the-counter derivatives," ESRB Working Paper Series, European Systemic Risk Board, number 61, Dec.
- Kahraman, Bige & Pachare, Salil, 2018, "Show us your shorts!," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12658, Jan.