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Report NEP-MST-2020-10-19
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:
- Victor Olkhov, 2020, "Price, Volatility and the Second-Order Economic Theory," Papers, arXiv.org, number 2009.14278, Sep, revised Apr 2021.
- Xuan Tao & Andrew Day & Lan Ling & Samuel Drapeau, 2020, "On Detecting Spoofing Strategies in High Frequency Trading," Papers, arXiv.org, number 2009.14818, Sep, revised Dec 2020.
- Eyster, Erik & Rabin, Matthew & Vayanos, Dimitri, 2019, "Financial markets where traders neglect the informational content of prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87477, Feb.
- Shabir A.A. Saleem & Peter N. Smith & Abdullah Yalaman, 2020, "Analysis of Systematic Risk around Firm-specific News in an Emerging Market using High Frequency Data," Discussion Papers, Department of Economics, University of York, number 20/09, Aug.