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Report NEP-MST-2020-02-10
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:
- Ioane Muni Toke & Nakahiro Yoshida, 2020, "Marked point processes and intensity ratios for limit order book modeling," Papers, arXiv.org, number 2001.08442, Jan.
- Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2019, "Does Index Arbitrage Distort the Market Reaction to Shocks?," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp651, Dec.
- Vincent Bogousslavsky & Pierre Collin-Dufresne, 2019, "Liquidity, Volume, and Order Imbalance Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-69, Mar.
- Jie Cao & Amit Goyal & Sai Ke & Xintong Zhan, 2019, "Option Trading and Stock Price Informativeness," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 19-74, Jun.
- Michael Junho Lee & Antoine Martin, 2020, "How Does Information Affect Liquidity in Over-the-Counter Markets?," Liberty Street Economics, Federal Reserve Bank of New York, number 20200113, Jan.