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Report NEP-MST-2019-09-16
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:
- Qi Wang & Jos'e E. Figueroa-L'opez & Todd Kuffner, 2019. "Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise," Papers 1909.04853, arXiv.org.
- Oliver Merz & Raphael Flepp & Egon Franck, 2019. "Does sentiment harm market efficiency? An empirical analysis using a betting exchange setting," Working Papers 381, University of Zurich, Department of Business Administration (IBW).
- Kei Katahira & Yu Chen, 2019. "Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game," Papers 1909.03185, arXiv.org.