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Report NEP-MST-2020-05-11
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:
- Masahiro Yamada & Takatoshi Ito, 2020, "Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements," NBER Working Papers, National Bureau of Economic Research, Inc, number 27036, Apr.
- Jackie Jianhong Shen, 2020, "A Stochastic LQR Model for Child Order Placement in Algorithmic Trading," Papers, arXiv.org, number 2004.13797, Apr.
- Damien Challet & Nikita Gourianov, 2018, "Dynamical regularities of US equities opening and closing auctions," Post-Print, HAL, number hal-01702726, DOI: 10.1142/S2382626619500011.
- Damien Challet & Rémy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2018, "Statistically validated leadlag networks and inventory prediction in the foreign exchange market," Post-Print, HAL, number hal-01705087, Dec, DOI: 10.1142/S0219525918500194.
- Micha{l} Narajewski & Florian Ziel, 2020, "Ensemble Forecasting for Intraday Electricity Prices: Simulating Trajectories," Papers, arXiv.org, number 2005.01365, May, revised Aug 2020.