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Report NEP-MST-2018-04-09
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:
- Charles-Albert Lehalle & Othmane Mounjid & Mathieu Rosenbaum, 2018, "Optimal liquidity-based trading tactics," Papers, arXiv.org, number 1803.05690, Mar.
- Yu-Lei Wan & Gang-Jin Wang & Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou, 2018, "The cooling-off effect of price limits in the Chinese stock markets," Papers, arXiv.org, number 1803.09422, Mar.
- Justin Sirignano & Rama Cont, 2018, "Universal features of price formation in financial markets: perspectives from Deep Learning," Papers, arXiv.org, number 1803.06917, Mar.
- Jin Hyuk Choi & Kasper Larsen & Duane J. Seppi, 2018, "Equilibrium Effects of Intraday Order-Splitting Benchmarks," Papers, arXiv.org, number 1803.08336, Mar, revised Mar 2020.
- Koichiro Kamada & Tetsuo Kurosaki & Ko Miura & Tetsuya Yamada, 2018, "Central Bank Policy Announcements and Changes in Trading Behavior: Evidence from Bond Futures High Frequency Price Data," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 18-E-02, Mar.
- Xiaofei Lu & Frédéric Abergel, 2018, "High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration," Post-Print, HAL, number hal-01686122, Jan, DOI: 10.1080/14697688.2017.1403142.
- Kevin Primicerio & Damien Challet, 2018, "Large large-trader activity weakens the long memory of limit order markets," Papers, arXiv.org, number 1803.08390, Mar.
- Tzuo Hann Law & Dongho Song & Amir Yaron, 2017, "Fearing the Fed: How Wall Street Reads Main Street," 2017 Meeting Papers, Society for Economic Dynamics, number 1632.