Report NEP-MST-2017-02-19
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.Subscribe to this report: email, RSS, or Mastodon.
Other reports in NEP-MST
The following items were announced in this report:
- Marios Panayides & Barbara Rindi & Ingrid M. Werner, 2017. "Trading Fees and Intermarket Competition," Working Papers 595, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Martin Theissen & Sebastian M. Krause & Thomas Guhr, 2017. "Regularities and Irregularities in Order Flow Data," Papers 1702.04289, arXiv.org.
- Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2017. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," IWH Discussion Papers 4/2017, Halle Institute for Economic Research (IWH).
- Iacopo Mastromatteo & Michael Benzaquen & Zoltan Eisler & Jean-Philippe Bouchaud, 2017. "Trading Lightly: Cross-Impact and Optimal Portfolio Execution," Papers 1702.03838, arXiv.org, revised Aug 2017.
- Joshua C. Hall & Serkan Karadas & Minh Tam T. Schlosky, 2016. "Abnormal Returns from Joining Congress? Evidence from New Members," Working Papers 16-25, Department of Economics, West Virginia University.
- Knapik, Oskar & Exterkate, Peter, 2017. "A regime-switching stochastic volatility model for forecasting electricity prices," Working Papers 2017-02, University of Sydney, School of Economics.
- Rudik, Ivan, 2016. "Tradable Credit Markets for Intensity Standards," ISU General Staff Papers 201602020800001013, Iowa State University, Department of Economics.
- Takahiro Omi & Yoshito Hirata & Kazuyuki Aihara, 2017. "Hawkes process model with a time-dependent background rate and its application to high-frequency financial data," Papers 1702.04443, arXiv.org, revised Jul 2017.
- Peter Chinloy & William D. Larson, 2017. "The Daily Microstructure of the Housing Market," FHFA Staff Working Papers 17-01, Federal Housing Finance Agency.