Report NEP-MST-2020-02-03

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:

• Vassilis Polimenis, 2020. "Trading on the Floor after Sweeping the Book," Papers 2001.06445, arXiv.org.
• Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2020. "High-Frequency Jump Tests: Which Test Should We Use?," Monash Econometrics and Business Statistics Working Papers 3/20, Monash University, Department of Econometrics and Business Statistics.
• Boyue Fang & Yutong Feng, 2019. "Design of High-Frequency Trading Algorithm Based on Machine Learning," Papers 1912.10343, arXiv.org.
• Sabiou M. Inoua, 2019. "News-Driven Expectations and Volatility Clustering," Working Papers 19-33, Chapman University, Economic Science Institute.