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Report NEP-MST-2020-08-24
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:
- Lam, Clifford & Feng, Phoenix, 2018, "A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 88375, Sep.
- Qi Guo & Bruno Remillard & Anatoliy Swishchuk, 2020, "Multivariate General Compound Point Processes in Limit Order Books," Papers, arXiv.org, number 2008.00124, Jul.
- James Collin Harkrader & Michael Puglia, 2020, "Principal Trading Firm Activity in Treasury Cash Markets," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2020-08-04, Aug, DOI: 10.17016/2380-7172.2620.
- Teemu Pennanen & Udomsak Rakwongwan, 2020, "Optimal semi-static hedging in illiquid markets," Papers, arXiv.org, number 2008.01463, Aug.