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Report NEP-MST-2018-09-03
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:
- Sebastian Herrmann & Johannes Muhle-Karbe & Dapeng Shang & Chen Yang, 2018, "Inventory Management for High-Frequency Trading with Imperfect Competition," Papers, arXiv.org, number 1808.05169, Aug, revised Jun 2019.
- Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino, 2018, "Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment -Empirical Study in the Japanese Stock Market-(Forthcoming in Asia-Pacific Financial Markets)(Revised version of CARF-F-411)," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-438, Jun.
- Ben Hambly & Jasdeep Kalsi & James Newbury, 2018, "Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models," Papers, arXiv.org, number 1808.07107, Aug, revised Jun 2019.
- Selma Boussetta & Laurance Lescourret & Sophie Moinas, 2018, "The Role of Pre-Opening Mechanisms in Fragmented Markets," EconPol Working Paper, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 12.
- Taiga Saito & Akihiko Takahashi, 2018, "Online Supplement for "Stochastic Differential Game in High Frequency Market"," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-437, May.
- Max Ole Liemen & Michel van der Wel & Olaf Posch, 2018, "Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data," 2018 Meeting Papers, Society for Economic Dynamics, number 1049.
- Klova, Valeriia & Odegaard, Bernt Arne, 2018, "Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators," UiS Working Papers in Economics and Finance, University of Stavanger, number 2018/4, May, revised 2019.
- Karnaukh, Nina, 2018, "The Dollar Ahead of FOMC Target Rate Changes," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2018-14, Mar.