Report NEP-MST-2015-09-05

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Roman Gayduk & Sergey Nadtochiy, 2015. "Liquidity Effects of Trading Frequency," Papers 1508.07914, arXiv.org, revised May 2017.
• Werner, Ingrid M. & Wen, Yuanji & Rindi, Barbara & Consonni, Francesco & Buti, Sabrina, 2015. "Tick Size: Theory and Evidence," Working Paper Series 2015-04, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Efstathios Panayi & Gareth W. Peters & Jon Danielsson & Jean-Pierre Zigrand, 2015. "Designating market maker behaviour in Limit Order Book markets," Papers 1508.04348, arXiv.org.
• Tzu-Wei Yang & Lingjiong Zhu, 2015. "A reduced-form model for level-1 limit order books," Papers 1508.07891, arXiv.org, revised Nov 2016.
• Noemi Nava & Tiziana Di Matteo & Tomaso Aste, 2015. "Time-dependent scaling patterns in high frequency financial data," Papers 1508.07428, arXiv.org, revised Dec 2015.
• Kolaric, S. & Kiesel, F. & Schiereck, D., 2016. "Return patterns of South Korean stocks following large price shocks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 75011, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
• Kroujiline, Dimitri & Gusev, Maxim & Ushanov, Dmitry & Sharov, Sergey V. & Govorkov, Boris, 2015. "Forecasting stock market returns over multiple time horizons," MPRA Paper 66175, University Library of Munich, Germany.