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Report NEP-MST-2020-01-13
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:
- Ying Chen & Ulrich Horst & Hoang Hai Tran, 2019, "Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks," Papers, arXiv.org, number 1912.06426, Dec.
- Ao Kong & Hongliang Zhu & Robert Azencott, 2019, "Predicting intraday jumps in stock prices using liquidity measures and technical indicators," Papers, arXiv.org, number 1912.07165, Dec.
- Greppmair, Stefan & Theissen, Erik, 2019, "Small is beautiful? How the introduction of mini futures contracts affects the regular contract," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 19-06.
- Henry Hanifan & John Cartlidge, 2019, "Fools Rush In: Competitive Effects of Reaction Time in Automated Trading," Papers, arXiv.org, number 1912.02775, Dec, revised Nov 2020.