Report NEP-MST-2019-06-17

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Dionne, Georges & Zhou, Xiaozhou, 2019. "Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency," Working Papers 19-3, HEC Montreal, Canada Research Chair in Risk Management, revised 04 Nov 2019.
• Martin D. D. Evans, 2019. "Front-Running and Collusion in Forex Trading," Working Papers gueconwpa~19-19-02, Georgetown University, Department of Economics.
• Utpal Bhattacharya & Wei-Yu Kuo & Tse-Chun Lin & Jing Zhao, 2019. "Do Superstitious Traders Lose Money?," HKUST IEMS Working Paper Series 2019-62, HKUST Institute for Emerging Market Studies, revised May 2019.
• Paul Jusselin & Thibaut Mastrolia & Mathieu Rosenbaum, 2019. "Optimal auction duration: A price formation viewpoint," Papers 1906.01713, arXiv.org, revised Jun 2020.
• Li, Z. M. & Laeven, R. J. A. & Vellekoop, M. H., 2019. "Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data," Cambridge Working Papers in Economics 1952, Faculty of Economics, University of Cambridge.
• Attar, Andrea & Mariotti, Thomas & Salanié, François, 2019. "The Social Costs of Side Trading," TSE Working Papers 19-1017, Toulouse School of Economics (TSE), revised Oct 2019.
• Anastasios Dosis, 2019. "Optimal Trading for an Informed Seller," Working Papers hal-02130450, HAL.