Report NEP-MST-2019-09-30

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:

• Lorenzo Dall’amico & Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "How does latent liquidity get revealed in the limit order book?," Post-Print hal-02283821, HAL.
• Can Yilmaz Altinigne & Harun Ozkan & Veli Can Kupeli & Zehra Cataltepe, 2019. "An Empirical Study on Arrival Rates of Limit Orders and Order Cancellation Rates in Borsa Istanbul," Papers 1909.08308, arXiv.org.
• Chloe Tergiman & Marie Claire Villeval, 2019. "The Way People Lie in Markets," Working Papers halshs-02292040, HAL.
• Dmitry Zotikov & Anton Antonov, 2019. "CME Iceberg Order Detection and Prediction," Papers 1909.09495, arXiv.org.