Report NEP-MST-2020-08-24

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:

• Lam, Clifford & Feng, Phoenix, 2018. "A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data," LSE Research Online Documents on Economics 88375, London School of Economics and Political Science, LSE Library.
• Qi Guo & Bruno Remillard & Anatoliy Swishchuk, 2020. "Multivariate General Compound Point Processes in Limit Order Books," Papers 2008.00124, arXiv.org.
• James Collin Harkrader & Michael Puglia, 2020. "Principal Trading Firm Activity in Treasury Cash Markets," FEDS Notes 2020-08-04, Board of Governors of the Federal Reserve System (U.S.).
• Teemu Pennanen & Udomsak Rakwongwan, 2020. "Optimal semi-static hedging in illiquid markets," Papers 2008.01463, arXiv.org.