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Report NEP-MST-2019-12-23
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:
- Lorenzo Dall’amico & Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019, "How does latent liquidity get revealed in the limit order book?," Post-Print, HAL, number hal-02323373, Jan, DOI: 10.1088/1742-5468/aaf10e.
- Anastasios Demertzidis, 2019, "Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201932.
- Fédéric Bucci & Michael Benzaquen & Fabrizio Lillo & Jean-Philippe Bouchaud, 2019, "Crossover from Linear to Square-Root Market Impact," Post-Print, HAL, number hal-02323405, Mar, DOI: 10.1103/PhysRevLett.122.108302.
- Frédéric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud, 2019, "Impact is not just volatility," Post-Print, HAL, number hal-02323182, Jul, DOI: 10.1080/14697688.2019.1622768.
- Karolis Liaudinskas, 2019, "Human vs. Machine: Disposition Effect Among Algorithmic and Human Day-traders," Working Papers, Barcelona School of Economics, number 1133, Nov.