Report NEP-MST-2017-02-26

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:

• Alessio Sancetta, 2017. "Estimation for the Prediction of Point Processes with Many Covariates," Papers 1702.05315, arXiv.org.
• Andreas Karpf & Antoine Mandel & Stefano Battiston, 2017. "Price and Network Dynamics in the European Carbon Market," Documents de travail du Centre d'Economie de la Sorbonne 17010, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2017. "On the gains of using high frequency data and higher moments in Portfolio Selection," CeBER Working Papers 2017-02, Centre for Business and Economics Research (CeBER), University of Coimbra.
• Adarsh Kulkarni & Priya Mani & Carlotta Domeniconi, 2017. "Network-based Anomaly Detection for Insider Trading," Papers 1702.05809, arXiv.org.
• J. M. Chen & A. G. Hawkes & E. Scalas & M. Trinh, 2017. "Performance of information criteria used for model selection of Hawkes process models of financial data," Papers 1702.06055, arXiv.org, revised Apr 2017.
• David A. Cimon & Corey Garriott, 2017. "Banking Regulation and Market Making," Staff Working Papers 17-7, Bank of Canada.
• Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2017. "The amazing power of dimensional analysis: Quantifying market impact," Papers 1702.05434, arXiv.org, revised Sep 2017.