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Report NEP-MST-2021-02-01
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:
- Serdengecti, Suleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2020, "Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets," MPRA Paper, University Library of Munich, Germany, number 105162, Apr, revised Jan 2021.
- Cookson, J. Anthony & Fos, Vyacheslav & Niessner, Marina, 2021, "Does Disagreement Facilitate Informed Trading? Evidence from Activist Investors," SocArXiv, Center for Open Science, number q8xvc, Jan, DOI: 10.31219/osf.io/q8xvc.
- Markus Kreer & Ayse Kizilersu & Anthony W. Thomas, 2020, "Censored EM algorithm for Weibull mixtures: application to arrival times of market orders," Papers, arXiv.org, number 2012.10601, Dec.
- Marco Di Maggio & Mark Egan & Francesco A. Franzoni, 2021, "The Value of Intermediation in the Stock Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 21-01, Jan.
- Marc Bohmann & Vinay Patel, 2020, "Information Leakage in Energy Derivatives around News Announcements," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2020-2, Jan.
- Rebecaa Pham & Marcel Ausloos, 2020, "Insider trading in the run-up to merger announcements. Before and after the UK's Financial Services Act 2012," Papers, arXiv.org, number 2012.11594, Dec.
- Joffrey Derchu, 2020, "A Bayesian viewpoint on the price formation process," Papers, arXiv.org, number 2012.15705, Dec, revised Sep 2021.
- Guillermo Angeris & Alex Evans & Tarun Chitra, 2020, "When does the tail wag the dog? Curvature and market making," Papers, arXiv.org, number 2012.08040, Dec.
- Angad Singh, 2021, "A Model of Market Making and Price Impact," Papers, arXiv.org, number 2101.01388, Jan.