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Report NEP-MST-2019-02-18
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:
- Marco Cipriani & Antonio Guarino & Andreas Uthemann, 2019, "Financial transaction taxes and the informational efficiency of financial markets: a structural estimation," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP07/19, Feb.
- Fr'ed'eric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2019, "Are trading invariants really invariant? Trading costs matter," Papers, arXiv.org, number 1902.03457, Feb.
- Jieun Lee & Doojin Ryu, 2019, "The Impacts of Macroeconomic News Announcements on Intraday Implied Volatility," Working Papers, Economic Research Institute, Bank of Korea, number 2019-2, Jan.
- Emilio Said & Ahmed Bel Hadj Ayed & Damien Thillou & Jean-Jacques Rabeyrin & Fr'ed'eric Abergel, 2019, "Market Impact: A Systematic Study of the High Frequency Options Market," Papers, arXiv.org, number 1902.05418, Feb, revised May 2022.
- Chariton Chalvatzis & Dimitrios Hristu-Varsakelis, 2019, "High-performance stock index trading: making effective use of a deep LSTM neural network," Papers, arXiv.org, number 1902.03125, Feb, revised May 2019.
- Achraf Bahamou & Maud Doumergue & Philippe Donnat, 2019, "Hawkes processes for credit indices time series analysis: How random are trades arrival times?," Papers, arXiv.org, number 1902.03714, Feb.