Report NEP-MST-2020-03-02

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:

• Michael J. Fleming & Ernst Schaumburg & Ron Yang, 2015. "The Evolution of Workups in the U.S. Treasury Securities Market," Liberty Street Economics 20150820, Federal Reserve Bank of New York.
• Tobias Adrian & Michael J. Fleming & Erik Vogt & Zachary Wojtowicz, 2016. "Corporate Bond Market Liquidity Redux: More Price-Based Evidence," Liberty Street Economics 20160209, Federal Reserve Bank of New York.
• Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Working Papers 668, DNB.
• Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015. "Has Liquidity Risk in the Treasury and Equity Markets Increased?," Liberty Street Economics 20151006a, Federal Reserve Bank of New York.
• L'ester Alfonso & Danahe E. Garcia-Ramirez & Ricardo Mansilla & C'esar A. Terrero-Escalante, 2020. "Analysis of intra-day fluctuations in the Mexican financial market index," Papers 2002.05697, arXiv.org.
• Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015. "What's Driving Dealer Balance Sheet Stagnation?," Liberty Street Economics 20150821, Federal Reserve Bank of New York.
• Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron, 2020. "Beating the naive: Combining LASSO with naive intraday electricity price forecasts," WORking papers in Management Science (WORMS) WORMS/20/01, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.