Report NEP-MST-2016-04-04

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Yoshida, Yushi & Susai, Masayuki, 2016. "Stepping out of the limit order book: Empirical evidence from the EBS FX market," MPRA Paper 70291, University Library of Munich, Germany.
• Vladislav Gennadievich Malyshkin & Ray Bakhramov, 2016. "Market Dynamics vs. Statistics: Limit Order Book Example," Papers 1603.05313, arXiv.org, revised Mar 2016.
• Curatola, Giuliano, 2016. "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series 128, Leibniz Institute for Financial Research SAFE.
• Richard J Martin, 2016. "Universal trading under proportional transaction costs," Papers 1603.06558, arXiv.org.
• Missaka Warusawitharana, 2016. "Time-varying Volatility and the Power Law Distribution of Stock Returns," Finance and Economics Discussion Series 2016-022, Board of Governors of the Federal Reserve System (U.S.).
• Yoann Potiron & Per Mykland, 2016. "Local Parametric Estimation in High Frequency Data," Papers 1603.05700, arXiv.org, revised Aug 2018.
• Claudio Altafini, 2016. "The geometric phase of stock trading," Papers 1603.05513, arXiv.org.
• Liu, Yuna, 2016. "Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers," Umeå Economic Studies 925, Umeå University, Department of Economics.