Report NEP-MST-2017-05-14
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, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Alexis Stenfors & Masayuki Susai, 2017. "Algorithmic Trading Behaviour and High-Frequency Liquidity Withdrawal in the FX Spot Market," Working Papers in Economics & Finance 2017-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Adamantios Ntakaris & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2017. "Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods," Papers 1705.03233, arXiv.org, revised Mar 2020.
- Ibrahim Ekren & Johannes Muhle-Karbe, 2017. "Portfolio Choice with Small Temporary and Transient Price Impact," Papers 1705.00672, arXiv.org, revised Apr 2020.
- Oliver Linton & Jianbin Wu, 2017. "A coupled component GARCH model for intraday and overnight volatility," CeMMAP working papers CWP05/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.