Report NEP-MST-2021-03-08

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:

• Li, M. Z. & Linton, O., 2021. "Robust Estimation of Integrated and Spot Volatility," Cambridge Working Papers in Economics 2115, Faculty of Economics, University of Cambridge.
• Colliard, Jean-Edouard & Foucault, Thierry & Hoffmann, Peter, 2021. "Inventory management, dealers’ connections, and prices in OTC markets," Working Paper Series 2529, European Central Bank.
• Donggyu Kim & Minseok Shin & Yazhen Wang, 2021. "Overnight GARCH-It\^o Volatility Models," Papers 2102.13467, arXiv.org, revised Jun 2022.
• Dohyun Chun & Donggyu Kim, 2021. "State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data," Papers 2102.13404, arXiv.org.
• Yan Peng & Jason Shachat & Lijia Wei & S. Sarah Zhang, 2020. "Speed Traps: Algorithmic Trader Performance Under Alternative Market Structures," Working Papers 20-39, Chapman University, Economic Science Institute.