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Report NEP-MST-2020-06-29
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:
- Laura Leal & Mathieu Lauri`ere & Charles-Albert Lehalle, 2020, "Learning a functional control for high-frequency finance," Papers, arXiv.org, number 2006.09611, Jun, revised Feb 2021.
- Kerry Back & Francois Cocquemas & Ibrahim Ekren & Abraham Lioui, 2020, "Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading," Papers, arXiv.org, number 2006.09518, Jun, revised Aug 2021.
- Yuan Hu & Abootaleb Shirvani & Stoyan Stoyanov & Young Shin Kim & Frank J. Fabozzi & Svetlozar T. Rachev, 2020, "Option Pricing in Markets with Informed Traders," Papers, arXiv.org, number 2006.02596, Jun, revised Aug 2020.
- Oomen, Roel, 2018, "Price signatures," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 90481, Nov.
- David Byrd & Sruthi Palaparthi & Maria Hybinette & Tucker Hybinette Balch, 2020, "The Importance of Low Latency to Order Book Imbalance Trading Strategies," Papers, arXiv.org, number 2006.08682, Jun.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020, "Inside the Mind of a Stock Market Crash," NBER Working Papers, National Bureau of Economic Research, Inc, number 27272, May.
- Croce, Mariano & Farroni, Paolo & Wolfskeil, Isabella, 2020, "When the Markets Get COVID: COntagion, Viruses, and Information Diffusion," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14674, Apr.