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Report NEP-MST-2019-01-14
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:
- Stephan Grimm & Thomas Guhr, 2018, "How spread changes affect the order book: Comparing the price responses of order deletions and placements to trades," Papers, arXiv.org, number 1812.09067, Dec.
- Hautsch, Nikolaus & Scheuch, Christoph & Voigt, Stefan, 2018, "Limits to arbitrage in markets with stochastic settlement latency," CFS Working Paper Series, Center for Financial Studies (CFS), number 616.
- Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2018, "The Price of BitCoin: GARCH Evidence from High Frequency Data," Papers, arXiv.org, number 1812.09452, Dec.
- Marcus Cordi & Damien Challet & Serge Kassibrakis, 2019, "The market nanostructure origin of asset price time reversal asymmetry," Papers, arXiv.org, number 1901.00834, Jan, revised Apr 2020.