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Report NEP-MST-2025-03-10
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:
- Mark Paddrik & Stathis Tompaidis, 2024, "Model Shows Network Density Affects Derivatives Trade Costs," The OFR Blog, Office of Financial Research, US Department of the Treasury, number 24-01, Jan.
- Yoann Potiron & O. Scaillet & Vladimir Volkov & Seunghyeon Yu, 2025, "High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-13, Jan.
- Caio Almeida & Kim Ardison & Gustavo Freire & René Garcia & Piotr Orlowski, 2024, "High-Frequency Tail Risk Premium and Stock Return Predictability," Post-Print, HAL, number hal-04927211, Dec, DOI: 10.1017/S0022109023001199.