Report NEP-MST-2016-06-18

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:

• Donovan Platt & Tim Gebbie, 2016. "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers 1606.01495, arXiv.org, revised Mar 2017.
• Strasser, Georg & Kurov, Alexander & Sancetta, Alessio & Wolfe, Marketa Halova, 2016. "Price drift before U.S. macroeconomic news: private information about public announcements?," Working Paper Series 1901, European Central Bank.
• Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016. "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," CeMMAP working papers CWP12/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
• Ebner, André & Fecht, Falko & Schulz, Alexander, 2016. "How central is central counterparty clearing? A deep dive into a European repo market during the crisis," Discussion Papers 14/2016, Deutsche Bundesbank.