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Report NEP-MST-2020-03-02
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:
- Michael J. Fleming & Ernst Schaumburg & Ron Yang, 2015, "The Evolution of Workups in the U.S. Treasury Securities Market," Liberty Street Economics, Federal Reserve Bank of New York, number 20150820, Aug.
- Tobias Adrian & Michael J. Fleming & Erik Vogt & Zachary Wojtowicz, 2016, "Corporate Bond Market Liquidity Redux: More Price-Based Evidence," Liberty Street Economics, Federal Reserve Bank of New York, number 20160209, Feb.
- Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020, "Crowded trades, market clustering, and price instability," Working Papers, DNB, number 668, Jan.
- Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015, "Has Liquidity Risk in the Treasury and Equity Markets Increased?," Liberty Street Economics, Federal Reserve Bank of New York, number 20151006a, Oct.
- L'ester Alfonso & Danahe E. Garcia-Ramirez & Ricardo Mansilla & C'esar A. Terrero-Escalante, 2020, "Analysis of intra-day fluctuations in the Mexican financial market index," Papers, arXiv.org, number 2002.05697, Feb.
- Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015, "What's Driving Dealer Balance Sheet Stagnation?," Liberty Street Economics, Federal Reserve Bank of New York, number 20150821, Aug.
- Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron, 2020, "Beating the naive: Combining LASSO with naive intraday electricity price forecasts," WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology, number WORMS/20/01, Feb.