Report NEP-MST-2019-01-07

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Seungki Min & Costis Maglaras & Ciamac C. Moallemi, 2018, "Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution," Papers, arXiv.org, number 1811.05524, Nov.
• Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018, "Endogeneous Dynamics of Intraday Liquidity," Papers, arXiv.org, number 1811.03766, Nov.
• Peter Kondor & Gabor Pinter, 2018, "Private Information and Client Connections in Government Bond Markets," Discussion Papers, Centre for Macroeconomics (CFM), number 1901, Dec.
• Zhihong Jian & Zhican Zhu & Jie Zhou & Shuai Wu, 2018, "The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity," Departmental Working Papers, The University of Winnipeg, Department of Economics, number 2018-01, Dec.
• Kolokolov, Aleksey & Livieri, Giulia & Pirino, Davide, 2018, "Statistical inferences for price staleness," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 236, DOI: 10.2139/ssrn.3283628.
• Anatoliy Swishchuk & Aiden Huffman, 2018, "General Compound Hawkes Processes in Limit Order Books," Papers, arXiv.org, number 1812.02298, Nov.
• Ben-zhang Yang & Xinjiang He & Nan-jing Huang, 2019, "Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory," Papers, arXiv.org, number 1901.00345, Jan, revised Jan 2019.
• Fr'ed'eric Bucci & Michael Benzaquen & Fabrizio Lillo & Jean-Philippe Bouchaud, 2018, "Crossover from linear to square-Root market impact," Papers, arXiv.org, number 1811.05230, Nov.
• Abdelali Gabih & Hakam Kondakji & Ralf Wunderlich, 2018, "Asymptotic Filter Behavior for High-Frequency Expert Opinions in a Market with Gaussian Drift," Papers, arXiv.org, number 1812.03453, Dec, revised Mar 2020.
• Hadrien De March & Charles-Albert Lehalle, 2018, "Optimal trading using signals," Papers, arXiv.org, number 1811.03718, Nov.

Report NEP-MST-2019-01-07

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: