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.

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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 27036, National Bureau of Economic Research, Inc.
• Jackie Jianhong Shen, 2020. "A Stochastic LQR Model for Child Order Placement in Algorithmic Trading," Papers 2004.13797, arXiv.org.
• Damien Challet & Nikita Gourianov, 2018. "Dynamical regularities of US equities opening and closing auctions," Post-Print hal-01702726, HAL.
• Damien Challet & Rémy Chicheportiche & Mehdi Lallouache & Serge Kassibrakis, 2018. "Statistically validated leadlag networks and inventory prediction in the foreign exchange market," Post-Print hal-01705087, HAL.
• Micha{l} Narajewski & Florian Ziel, 2020. "Ensemble Forecasting for Intraday Electricity Prices: Simulating Trajectories," Papers 2005.01365, arXiv.org, revised Aug 2020.