Report NEP-MST-2020-03-30

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:

• Camponovo, Lorenzo & Matsushita, Yukitoshi & Otsu, Taisuke, 2019. "Empirical likelihood for high frequency data," LSE Research Online Documents on Economics 100320, London School of Economics and Political Science, LSE Library.
• Paul Jusselin, 2020. "Optimal market making with persistent order flow," Papers 2003.05958, arXiv.org, revised Oct 2020.
• Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers 20-01, University of Cologne, Centre for Financial Research (CFR).
• Butz, M. & Oomen, R., 2019. "Internalisation by electronic FX spot dealers," LSE Research Online Documents on Economics 90485, London School of Economics and Political Science, LSE Library.
• Michael J. Fleming, 2016. "Is Treasury Market Liquidity Becoming More Concentrated," Liberty Street Economics 20160211, Federal Reserve Bank of New York.
• Gara Afonso, 2011. "When Do Trade Frictions Increase Liquidity?," Liberty Street Economics 20111219, Federal Reserve Bank of New York.
• Michael J. Fleming, 2018. "U.S. Treasury Market Action on Election Night 2016," Liberty Street Economics 20181026, Federal Reserve Bank of New York.
• Daniel Chen & Darrell Duffie, 2020. "Market Fragmentation," NBER Working Papers 26828, National Bureau of Economic Research, Inc.