Report NEP-MST-2015-10-25

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:

• Vince Bourke & David Porter, 2015. "The Effects of Make and Take Fees in Experimental Markets," Working Papers 15-19, Chapman University, Economic Science Institute.
• Vladislav Gennadievich Malyshkin & Ray Bakhramov, 2015. "Mathematical Foundations of Realtime Equity Trading. Liquidity Deficit and Market Dynamics. Automated Trading Machines," Papers 1510.05510, arXiv.org, revised Dec 2016.
• Rafal Rak & Stanislaw Drozdz & Jaroslaw Kwapien & Pawel Oswiecimka, 2015. "Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies," Papers 1510.04910, arXiv.org, revised Nov 2015.
• Derek Stacey, 2015. "Advertised Prices in Decentralized Markets," 2015 Meeting Papers 1011, Society for Economic Dynamics.
• Michael W. McCracken & Michael T. Owyang & Tatevik Sekhposyan, 2015. "Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR," Working Papers 2015-030, Federal Reserve Bank of St. Louis, revised 10 Apr 2020.