Report NEP-MST-2020-01-13

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:

• Ying Chen & Ulrich Horst & Hoang Hai Tran, 2019. "Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks," Papers 1912.06426, arXiv.org.
• Ao Kong & Hongliang Zhu & Robert Azencott, 2019. "Predicting intraday jumps in stock prices using liquidity measures and technical indicators," Papers 1912.07165, arXiv.org.
• Greppmair, Stefan & Theissen, Erik, 2019. "Small is beautiful? How the introduction of mini futures contracts affects the regular contract," CFR Working Papers 19-06, University of Cologne, Centre for Financial Research (CFR).
• Henry Hanifan & John Cartlidge, 2019. "Fools Rush In: Competitive Effects of Reaction Time in Automated Trading," Papers 1912.02775, arXiv.org, revised Nov 2020.