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Report NEP-MST-2019-01-21
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:
- Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2019, "Optimal inventory management and order book modeling," Post-Print, HAL, number hal-01710301.
- Tristan Roger & Wael Bousselmi & Patrick Roger & Marc Willinger, 2018, "Another law of small numbers: patterns of trading prices in experimental markets," Working Papers, HAL, number hal-01954921, Dec.
- Juho Kanniainen & Ye Yue, 2019, "The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach," Papers, arXiv.org, number 1901.02691, Jan.
- Sebastian M. Krause & Jonas A. Fiegen & Thomas Guhr, 2018, "Emergence of stylized facts during the opening of stock markets," Papers, arXiv.org, number 1812.07369, Dec.
- Blume-Werry, Eike & Faber, Thomas & Hirth, Lion & Huber, Claus & Everts, Martin, , "Eyes on the Price: Which Power Generation Technologies Set the Market Price? Price Setting in European Electricity Markets: An Application to the Proposed Dutch Carbon Price Floor," ESP: Energy Scenarios and Policy, Fondazione Eni Enrico Mattei (FEEM), number 281287, DOI: 10.22004/ag.econ.281287.
- Alexander Barzykin & Fabrizio Lillo, 2019, "Optimal VWAP execution under transient price impact," Papers, arXiv.org, number 1901.02327, Jan, revised Jan 2019.