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Report NEP-MST-2019-02-11
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:
- Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2018, "Time-Varying Periodicity in Intraday Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-05, Jan.
- Diego Zabaljauregui & Luciano Campi, 2019, "Optimal market making under partial information with general intensities," Papers, arXiv.org, number 1902.01157, Feb, revised Apr 2020.
- Faisal I Qureshi, 2018, "Investigating Limit Order Book Characteristics for Short Term Price Prediction: a Machine Learning Approach," Papers, arXiv.org, number 1901.10534, Dec.
- Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018, "Option Panels in Pure-Jump Settings," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-04, Jan.