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Report NEP-MST-2019-04-15
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:
- Florent Gallien & Serge Kassibrakis & Nataliya Klimenko & Semyon Malamud & Alberto Teguia, 2018, "Liquidity Provision in the Foreign Exchange Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-56, Aug, revised Aug 2018.
- Chowdhury, Biplob & Jeyasreedharan, Nagaratnam, 2019, "An empirical examination of the jump and diffusion aspects of asset pricing: Japanese evidence," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2019-02.
- Spencer Wheatley & Alexander Wehrli & Didier Sornette, 2018, "The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-57, Aug.
- Rama Cont & Marvin S. Mueller, 2019, "A stochastic partial differential equation model for limit order book dynamics," Papers, arXiv.org, number 1904.03058, Apr, revised May 2021.
- Caferra, Rocco & Morone, Andrea & Nuzzo, Simone, 2019, "The Impact of a Pre-Opening Session on Subsequent Trading: an Experimental Analysis," MPRA Paper, University Library of Munich, Germany, number 92853, Mar.