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Report NEP-MST-2024-03-04
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:
- Gustavo Fruet Dias & Fotis Papailias & Cristina Scherrer, 2024, "An Econometric Analysis of Volatility Discovery," University of East Anglia School of Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 2024-01, Jan.
- Michael J. Fleming & Isabel Krogh & Claire Nelson, 2024, "Measuring Treasury Market Depth," Liberty Street Economics, Federal Reserve Bank of New York, number 20240212, Feb.
- George Tzagkarakis & Frantz Maurer & J.P. Nolan, 2023, "Taming impulsive high-frequency data using optimal sampling periods," Post-Print, HAL, number hal-04425500, Nov, DOI: 10.1007/s10479-023-05701-y.