Report NEP-MST-2018-04-02

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:

• Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2018. "Optimal inventory management and order book modeling," Working Papers hal-01710301, HAL.
• Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2018. "Theoretical and empirical analysis of trading activity," Papers 1803.04892, arXiv.org, revised Oct 2018.
• Venky Venkateswaran & Ariel Zetlin-Jones & Ali Shourideh & Benjamin Lester, 2017. "Market-Making with Search and Private Information," 2017 Meeting Papers 1554, Society for Economic Dynamics.
• Rui Fan & Oleksandr Talavera & Vu Tran, 2018. "Social media bots and stock markets," Working Papers 2018-30, Swansea University, School of Management.
• Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2018. "A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics," Papers 1803.04894, arXiv.org, revised Mar 2019.
• Tetsuji Okazaki, 2016. ""Risks and Returns of Trades: A case of Mitsubishi Corporation in the Prewar Period " (in Japanese)," CIRJE J-Series CIRJE-J-282, CIRJE, Faculty of Economics, University of Tokyo.
• Ismael Lemhadri, 2018. "Market impact in a latent order book," Working Papers hal-01711192, HAL.
• Philippe Casgrain & Sebastian Jaimungal, 2018. "Mean Field Games with Partial Information for Algorithmic Trading," Papers 1803.04094, arXiv.org, revised Mar 2019.