Report NEP-MST-2020-03-09

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:

• Jacopo Staccioli & Mauro Napoletano, 2018. "An agent-based model of intra day financial markets dynamics," Documents de Travail de l'OFCE 2018-34, Observatoire Francais des Conjonctures Economiques (OFCE).
• David O. Lucca & Or Shachar, 2014. "Lunch Anyone? Volatility on the Tokyo Stock Exchange around the Lunch Break on May 23, 2013, and Stock Market Circuit Breakers," Liberty Street Economics 20140409, Federal Reserve Bank of New York.
• Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Papers 2002.03319, arXiv.org.
• Arne Lokka & Junwei Xu, 2020. "Optimal liquidation for a risk averse investor in a one-sided limit order book driven by a Levy process," Papers 2002.03379, arXiv.org, revised Oct 2020.
• Michael J. Fleming & Frank M. Keane & Ernst Schaumburg, 2016. "Primary Dealer Participation in the Secondary U.S. Treasury Market," Liberty Street Economics 20160212, Federal Reserve Bank of New York.