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Report NEP-MST-2021-08-30
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:
- Francis Breedon & Thórarinn G. Pétursson & Paolo Vitale, 2021, "The currency that came in from the cold - Capital controls and the information content of order flow," Economics, Department of Economics, Central bank of Iceland, number wp86, Jun.
- Jakob Albers & Mihai Cucuringu & Sam Howison & Alexander Y. Shestopaloff, 2021, "Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets," Papers, arXiv.org, number 2108.09750, Aug.
- Lin William Cong & Xi Li & Ke Tang & Yang Yang, 2021, "Crypto Wash Trading," Papers, arXiv.org, number 2108.10984, Aug.
- Borsboom, Charlotte & Füllbrunn, Sascha, 2021, "Stock Price Level Effect," MPRA Paper, University Library of Munich, Germany, number 109286, Aug.
- Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2021, "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Post-Print, HAL, number hal-02998555.
- Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2021, "A Stationary Kyle Setup: Microfounding propagator models," Post-Print, HAL, number hal-03016486.