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Report NEP-MST-2020-09-14
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:
- Semyon Malamud & Michael Tseng & Yuan Zhang, 2020, "Price Discovery for Options," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-66, Aug.
- Bairui Du & Delmiro Fernandez-Reyes & Paolo Barucca, 2020, "Image Processing Tools for Financial Time Series Classification," Papers, arXiv.org, number 2008.06042, Aug, revised Aug 2020.
- Bastien Baldacci & Iuliia Manziuk, 2020, "Adaptive trading strategies across liquidity pools," Papers, arXiv.org, number 2008.07807, Aug.
- Ramiro Losada & Albert Martinez, 2020, "Analysis of the effect of restrictions on net short positions on Spanish shares between March and May 2020," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers (othe.
- Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurram S. & Khan, Maaz, 2020, "On the Efficiency of Foreign Exchange Markets in times of the COVID-19 Pandemic," MPRA Paper, University Library of Munich, Germany, number 102458, May, revised Jul 2020.
- Michael J. Fleming, 2020, "How Does the Liquidity of New Treasury Securities Evolve?," Liberty Street Economics, Federal Reserve Bank of New York, number 20200826, Aug.
- James Collin Harkrader & Michael Puglia, 2020, "Fixed Income Market Structure: Treasuries vs. Agency MBS," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2020-08-25, Aug, DOI: 10.17016/2380-7172.2622.