Report NEP-MST-2017-08-27

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:

• Paolo Barucca & Fabrizio Lillo, 2017. "Behind the price: on the role of agent's reflexivity in financial market microstructure," Papers 1708.07047, arXiv.org.
• Peijnenburg, Kim & Parise, Gianpaolo & Nefedova, Tamara & Eisele, Alexander, 2017. "Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families," CEPR Discussion Papers 12225, C.E.P.R. Discussion Papers.
• Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2016. "Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues," Working Papers 2016-03, Joint Research Centre, European Commission.
• Dr. Lucas Marc Fuhrer, 2017. "Liquidity in the Repo Market," Working Papers 2017-06, Swiss National Bank.
• Taiga Saito & Akihiko Takahashi, 2017. "Derivatives Pricing with Market Impact and Limit Order Book (Forthcoming in Automatica.)(Revised version of F-385)," CARF F-Series CARF-F-417, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
• Ulrich Horst & Dorte Kreher, 2017. "Second order approximations for limit order books," Papers 1708.07394, arXiv.org, revised Mar 2018.