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Report NEP-MST-2021-03-08
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:
- Li, M. Z. & Linton, O., 2021, "Robust Estimation of Integrated and Spot Volatility," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2115, Feb.
- Colliard, Jean-Edouard & Foucault, Thierry & Hoffmann, Peter, 2021, "Inventory management, dealers’ connections, and prices in OTC markets," Working Paper Series, European Central Bank, number 2529, Feb.
- Donggyu Kim & Minseok Shin & Yazhen Wang, 2021, "Overnight GARCH-It\^o Volatility Models," Papers, arXiv.org, number 2102.13467, Feb, revised Jun 2022.
- Dohyun Chun & Donggyu Kim, 2021, "State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data," Papers, arXiv.org, number 2102.13404, Feb.
- Yan Peng & Jason Shachat & Lijia Wei & S. Sarah Zhang, 2020, "Speed Traps: Algorithmic Trader Performance Under Alternative Market Structures," Working Papers, Chapman University, Economic Science Institute, number 20-39.