Report NEP-MST-2021-01-25

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:

• Kevin Shuai Zhang & Traian Pirvu, 2021. "Pricing spread option with liquidity adjustments," Papers 2101.00223, arXiv.org.
• James Collin Harkrader & Daniel J. Weitz, 2020. "How Do Principal Trading Firms and Dealers Trade around FOMC Statement Releases?," FEDS Notes 2020-12-31, Board of Governors of the Federal Reserve System (U.S.).
• Siyu Chen & Ravi Seshadri & Carlos Lima Azevedo & Arun P. Akkinepally & Renming Liu & Andrea Araldo & Yu Jiang & Moshe E. Ben-Akiva, 2021. "Market Design for Tradable Mobility Credits," Papers 2101.00669, arXiv.org, revised Sep 2022.
• Tomasz Serafin & Grzegorz Marcjasz & Rafal Weron, 2020. "Trading on short-term path forecasts of intraday electricity prices," WORking papers in Management Science (WORMS) WORMS/20/17, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
• Cookson, J. Anthony & Moon, S. Katie & Noh, Joonki, 2020. "Imprecise and Informative: Lessons from Market Reactions to Imprecise Disclosure," SocArXiv akt2c, Center for Open Science.