Report NEP-MST-2020-10-19

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:

• Victor Olkhov, 2020. "Price, Volatility and the Second-Order Economic Theory," Papers 2009.14278, arXiv.org, revised Apr 2021.
• Xuan Tao & Andrew Day & Lan Ling & Samuel Drapeau, 2020. "On Detecting Spoofing Strategies in High Frequency Trading," Papers 2009.14818, arXiv.org, revised Dec 2020.
• Eyster, Erik & Rabin, Matthew & Vayanos, Dimitri, 2019. "Financial markets where traders neglect the informational content of prices," LSE Research Online Documents on Economics 87477, London School of Economics and Political Science, LSE Library.
• Shabir A.A. Saleem & Peter N. Smith & Abdullah Yalaman, 2020. "Analysis of Systematic Risk around Firm-specific News in an Emerging Market using High Frequency Data," Discussion Papers 20/09, Department of Economics, University of York.