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Report NEP-MST-2020-11-16
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:
- Sebastiano Michele Zema, 2020, "Directed Acyclic Graph based Information Shares for Price Discovery," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2020/28, Oct.
- Alexander Wehrli & Didier Sornette, 2020, "Classification of flash crashes using the Hawkes(p,q) framework," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-92, Nov.
- Juan C. Henao-Londono & Sebastian M. Krause & Thomas Guhr, 2020, "Price response functions and spread impact in correlated financial markets," Papers, arXiv.org, number 2010.15105, Oct.
- Gajurel, Dinesh & Chowdhury, Biplob, 2020, "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2020-11.
- Isao Yagi & Yuji Masuda & Takanobu Mizuta, 2020, "Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity," Papers, arXiv.org, number 2010.13038, Oct.
- Isao Yagi & Shunya Maruyama & Takanobu Mizuta, 2020, "Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation," Papers, arXiv.org, number 2010.13036, Oct.