Report NEP-MST-2019-08-26

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:

• Kyungsub Lee & Byoung Ki Seo, 2019. "Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data," Papers 1908.05089, arXiv.org.
• Oleh Danyliv & Bruce Bland & Alexandre Argenson, 2019. "Random walk model from the point of view of algorithmic trading," Papers 1908.04333, arXiv.org.
• Kondor, Péter & Pinter, Gabor, 2019. "Clients' Connections: Measuring the Role of Private Information in Decentralised Markets," CEPR Discussion Papers 13880, C.E.P.R. Discussion Papers.
• Martin Stefan & Claudia Wellenreuther, 2019. "London vs. Leipzig: Price Discovery of Carbon Futures during Phase III of the ETS," CQE Working Papers 8719, Center for Quantitative Economics (CQE), University of Muenster.
• Gustavo Fruet Dias & Marcelo Fernandes & Cristina Mabel Scherrer, 2019. "Price discovery in a continuous-time setting," University of East Anglia School of Economics Working Paper Series 2019-02, School of Economics, University of East Anglia, Norwich, UK..
• Kyungsub Lee & Byoung Ki Seo, 2019. "Marked Hawkes process modeling of price dynamics and volatility estimation," Papers 1907.12025, arXiv.org.
• Martin, Ian & ,, 2019. "Sentiment and Speculation in a Market with Heterogeneous Beliefs," CEPR Discussion Papers 13857, C.E.P.R. Discussion Papers.