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Report NEP-MST-2019-08-26
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:
- Kyungsub Lee & Byoung Ki Seo, 2019, "Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data," Papers, arXiv.org, number 1908.05089, Aug.
- Oleh Danyliv & Bruce Bland & Alexandre Argenson, 2019, "Random walk model from the point of view of algorithmic trading," Papers, arXiv.org, number 1908.04333, Aug.
- Kondor, Péter & Pinter, Gabor, 2019, "Clients' Connections: Measuring the Role of Private Information in Decentralised Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13880, Jul.
- Martin Stefan & Claudia Wellenreuther, 2019, "London vs. Leipzig: Price Discovery of Carbon Futures during Phase III of the ETS," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 8719, Aug.
- Gustavo Fruet Dias & Marcelo Fernandes & Cristina Mabel Scherrer, 2019, "Price discovery in a continuous-time setting," University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 2019-02, Aug.
- Kyungsub Lee & Byoung Ki Seo, 2019, "Marked Hawkes process modeling of price dynamics and volatility estimation," Papers, arXiv.org, number 1907.12025, Jul.
- Martin, Ian & ,, 2019, "Sentiment and Speculation in a Market with Heterogeneous Beliefs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13857, Jul.