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Report NEP-MST-2019-12-16
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:
- Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019, "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers, arXiv.org, number 1912.00764, Dec.
- Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019, "Endogenous Liquidity Crises," Papers, arXiv.org, number 1912.00359, Dec, revised Feb 2020.
- Item repec:hal:wpaper:hal-02323318 is not listed on IDEAS anymore
- Ulrich Horst & Wei Xu, 2019, "The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics," Papers, arXiv.org, number 1911.12969, Nov.
- Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2019, "Optimal make-take fees for market making regulation," Working Papers, HAL, number hal-02379592, Nov, DOI: 10.1111/mafi.12295.
- Item repec:hal:wpaper:hal-02323433 is not listed on IDEAS anymore