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Report NEP-MST-2023-01-16
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:
- Sagade, Satchit & Scharnowski, Stefan & Westheide, Christian, 2022, "Broker colocation and the execution costs of customer and proprietary orders," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 366, DOI: 10.2139/ssrn.4289346.
- Alfred Lehar & Christine A Parlour, 2022, "Systemic fragility in decentralised markets," BIS Working Papers, Bank for International Settlements, number 1062, Dec.
- Piero Mazzarisi & Adele Ravagnani & Paola Deriu & Fabrizio Lillo & Francesca Medda & Antonio Russo, 2022, "A machine learning approach to support decision in insider trading detection," Papers, arXiv.org, number 2212.05912, Dec.
- Lausen, Jens & Clapham, Benjamin & Gomber, Peter & Bender, Micha, 2022, "Drivers and effects of stock market fragmentation - Insights on SME stocks," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 367, DOI: 10.2139/ssrn.4042916.
- F. Campigli & G. Bormetti & F. Lillo, 2022, "Measuring price impact and information content of trades in a time-varying setting," Papers, arXiv.org, number 2212.12687, Dec, revised Dec 2023.
- Fohlin, Caroline & Lu, Zhikun & Zhou, Nan, 2022, "Short sale bans may improve market quality during crises: New evidence from the 2020 Covid," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 365, DOI: 10.2139/ssrn.4288587.
- Marco Angrisani & Marco Cipriani & Antonio Guarino, 2022, "Strategic Sophistication and Trading Profits: An Experiment with Professional Traders," Staff Reports, Federal Reserve Bank of New York, number 1044, Dec.