Report NEP-MST-2017-02-12

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:

• Peter G. Dunne & Harald Hau & Michael Moore, 2012. "Dealer Intermediation between Markets," Swiss Finance Institute Research Paper Series 12-29, Swiss Finance Institute.
• Jakub Rojcek, 2016. "A Model of Price Impact and Market Maker Latency," Swiss Finance Institute Research Paper Series 16-56, Swiss Finance Institute.
• Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016. "Sticky Expectations and the Profitability Anomaly," Swiss Finance Institute Research Paper Series 16-60, Swiss Finance Institute.
• Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
• Masaaki Fukasawa & Mitja Stadje, 2017. "Perfect hedging under endogenous permanent market impacts," Papers 1702.01385, arXiv.org.
• Jose E. Figueroa-Lopez & K. Lee, 2017. "Estimation of a noisy subordinated Brownian Motion via two-scales power variations," Papers 1702.01164, arXiv.org.
• Volodymyr Vovchak, 2012. "Liquidity and Liquidity Risk in the Cross-Section of Stock Returns," Swiss Finance Institute Research Paper Series 12-44, Swiss Finance Institute.
• Blankespoor, Elizabeth & deHaan, Ed & Zhu, Christina, 2017. "Capital Market Effects of Media Synthesis and Dissemination: Evidence from Robo-Journalism," Research Papers 3490, Stanford University, Graduate School of Business.
• Kerstin Kehrle & Tatjana Xenia Puhan, 2012. "The Information Content of Option Demand," Swiss Finance Institute Research Paper Series 12-43, Swiss Finance Institute.
• Sannikov, Yuliy & Skrzypacz, Andrzej, 2016. "Dynamic Trading: Price Inertia and Front-Running," Research Papers 3487, Stanford University, Graduate School of Business.