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Report NEP-MST-2020-01-20
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:
- Masaaki Kijima & Christopher Ting, 2019, "Market Price of Trading Liquidity Risk and Market Depth," Papers, arXiv.org, number 1912.04565, Dec.
- Sergey Nadtochiy, 2020, "A simple microstructural explanation of the concavity of price impact," Papers, arXiv.org, number 2001.01860, Jan, revised Dec 2020.
- Somayeh Kokabisaghi & Eric J Pauwels & Andre B Dorsman, 2019, "To snipe or not to snipe, that is the question! Transitions in sniping behaviour among competing algorithmic traders," Papers, arXiv.org, number 1912.04012, Dec, revised Sep 2020.
- Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti & Aris Kartsaklas, 2019, "Investors' Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange," CESifo Working Paper Series, CESifo, number 7984.
- Evangelos Benos & Wenqian Huang & Albert Menkveld & Michalis Vasios, 2019, "The cost of clearing fragmentation," BIS Working Papers, Bank for International Settlements, number 826, Dec.