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Report NEP-MST-2017-11-12
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Noss, Joseph & Pedace, Lucas & Tobek, Ondrej & Linton, Oliver & Crowley-Reidy, Liam, 2017. "The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets," Bank of England working papers 687, Bank of England.
- Auld, T. & Linton, O., 2017. "The Behaviour of Betting and Currency Markets on the Night of the EU Referendum," Cambridge Working Papers in Economics 1750, Faculty of Economics, University of Cambridge.
- Martin Magris & Perttu Barholm & Juho Kanniainen, 2017. "Implied volatility smile dynamics in the presence of jumps," Papers 1711.02925, arXiv.org, revised May 2020.