Report NEP-MST-2018-11-12

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Bernales, Alejandro & Garrido, Nicolás & Sagade, Satchit & Valenzuela, Marcela & Westheide, Christian, 2020. "Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk," SAFE Working Paper Series 234, Leibniz Institute for Financial Research SAFE, revised 2020.
• Martin D. D. Evans & Peter O'Neill & Dagfinn Rime & Jo Saakvitne, 2018. "Fixing the Fix? Assessing the Effectiveness of the 4pm Fix Benchmark," Working Papers gueconwpa~18-18-18, Georgetown University, Department of Economics.
• Ymir Makinen & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2018. "Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data," Papers 1810.10845, arXiv.org.
• Item repec:spo:wpmain:info:hdl:2441/5mqflt6amg8gab4rlqn6sbko4b is not listed on IDEAS anymore

• Julio A. Crego & Jin Huang, 2017. "Early Birds and Second Mice in the Stock Market," Working Papers wp2017_1717, CEMFI.
• Juho Kanniainen & Martin Magris, 2018. "Option market (in)efficiency and implied volatility dynamics after return jumps," Papers 1810.12200, arXiv.org.
• Julio A. Crego, 2017. "Short Selling Ban and Intraday Dynamics," Working Papers wp2018_1715, CEMFI.