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Report NEP-MST-2020-03-30
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:
- Camponovo, Lorenzo & Matsushita, Yukitoshi & Otsu, Taisuke, 2019, "Empirical likelihood for high frequency data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100320, Feb.
- Paul Jusselin, 2020, "Optimal market making with persistent order flow," Papers, arXiv.org, number 2003.05958, Mar, revised Oct 2020.
- Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020, "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 20-01.
- Butz, M. & Oomen, R., 2019, "Internalisation by electronic FX spot dealers," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 90485, Jan.
- Michael J. Fleming, 2016, "Is Treasury Market Liquidity Becoming More Concentrated," Liberty Street Economics, Federal Reserve Bank of New York, number 20160211, Feb.
- Gara Afonso, 2011, "When Do Trade Frictions Increase Liquidity?," Liberty Street Economics, Federal Reserve Bank of New York, number 20111219, Dec.
- Michael J. Fleming, 2018, "U.S. Treasury Market Action on Election Night 2016," Liberty Street Economics, Federal Reserve Bank of New York, number 20181026, Oct.
- Daniel Chen & Darrell Duffie, 2020, "Market Fragmentation," NBER Working Papers, National Bureau of Economic Research, Inc, number 26828, Mar.