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Report NEP-MST-2025-01-06
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:
- Assa Cohen & Mahyar Kargar & Benjamin Lester & Pierre-Olivier Weill, 2024, "Inventory, Market Making, and Liquidity in OTC Markets," Working Papers, Federal Reserve Bank of Philadelphia, number 24-22, Dec, DOI: 10.21799/frbp.wp.2024.22.
- Munipalle, Pravith, 2024, "Algorithmic Bot Trading vs. Human Trading: Assessing Retail Trading Implications in Financial Markets," OSF Preprints, Center for Open Science, number p98zv, Dec, DOI: 10.31219/osf.io/p98zv.
- Sung Hoon Choi & Donggyu Kim, 2024, "Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector," Working Papers, University of California at Riverside, Department of Economics, number 202423, Dec.
- Donggyu Kim & Minseog Oh & Yazhen Wang, 2024, "Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta," Working Papers, University of California at Riverside, Department of Economics, number 202422, Dec.
- Carlo Zarattini & Andrew Aziz & Andrea Barbon, 2024, "Beat the Market An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-97, May.
- Briac Turquet & Pierre Bajgrowicz & O. Scaillet, 2024, "Mean Reversion Trading on the Naphtha Crack," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 24-101, Nov.
- Jianqing Fan & Donggyu Kim & Minseok Shin & Yazhen Wang, 2024, "Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data," Working Papers, University of California at Riverside, Department of Economics, number 202415, Dec.
- Christopher J. Neely, 2024, "What Happens to Expected Stock Volatility around Election Day?," On the Economy, Federal Reserve Bank of St. Louis, number 99209, Dec.