Report NEP-MST-2020-09-14

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:

• Semyon Malamud & Michael Tseng & Yuan Zhang, 2020. "Price Discovery for Options," Swiss Finance Institute Research Paper Series 20-66, Swiss Finance Institute.
• Bairui Du & Delmiro Fernandez-Reyes & Paolo Barucca, 2020. "Image Processing Tools for Financial Time Series Classification," Papers 2008.06042, arXiv.org, revised Aug 2020.
• Bastien Baldacci & Iuliia Manziuk, 2020. "Adaptive trading strategies across liquidity pools," Papers 2008.07807, arXiv.org.
• Ramiro Losada & Albert Martinez, 2020. "Analysis of the effect of restrictions on net short positions on Spanish shares between March and May 2020," CNMV Working Papers CNMV Working Papers (othe, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
• Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurram S. & Khan, Maaz, 2020. "On the Efficiency of Foreign Exchange Markets in times of the COVID-19 Pandemic," MPRA Paper 102458, University Library of Munich, Germany, revised Jul 2020.
• Michael J. Fleming, 2020. "How Does the Liquidity of New Treasury Securities Evolve?," Liberty Street Economics 20200826, Federal Reserve Bank of New York.
• James Collin Harkrader & Michael Puglia, 2020. "Fixed Income Market Structure: Treasuries vs. Agency MBS," FEDS Notes 2020-08-25, Board of Governors of the Federal Reserve System (U.S.).