Printed from https://ideas.repec.org/n/nep-mst/2021-11-29.html
Report NEP-MST-2021-11-29
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:
- Saef, Danial & Nagy, Odett & Sizov, Sergej & Härdle, Wolfgang, 2021, "Understanding jumps in high frequency digital asset markets," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2021-019.
- Jeremy D. Turiel & Tomaso Aste, 2021, "Self-organised criticality in high frequency finance: the case of flash crashes," Papers, arXiv.org, number 2110.13718, Oct.
- Campi, Luciano & Zabaljauregui, Diego, 2020, "Optimal market making under partial information with general intensities," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 104612, May.
- Stefano Mengoli & Marco Pagano & Pierpaolo Pattitoni, 2021, "The Geography of Investor Attention," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 630, Nov, revised 27 Mar 2024.