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Report NEP-MST-2021-03-29
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Jawad Saleemi, 2020. "An estimation of cost-based market liquidity from daily high, low and close prices [Una estimación de la liquidez de mercado basada en los costes a partir de los precios máximo, mínimo y de cierre]," Post-Print hal-03149324, HAL.
- Thomas Deschatre & Pierre Gruet, 2021. "Electricity intraday price modeling with marked Hawkes processes," Papers 2103.07407, arXiv.org, revised Mar 2021.
- Kuang-Liang Chang & Charles Ka Yui Leung, 2021. "How did the asset markets change after the Global Financial Crisis?," ISER Discussion Paper 1124, Institute of Social and Economic Research, Osaka University.
- Boneva, Lena & Islami, Mevlud & Schlepper, Kathi, 2021. "Liquidity in the German corporate bond market: Has the CSPP made a difference?," Discussion Papers 08/2021, Deutsche Bundesbank.
- Yuchen Fang & Kan Ren & Weiqing Liu & Dong Zhou & Weinan Zhang & Jiang Bian & Yong Yu & Tie-Yan Liu, 2021. "Universal Trading for Order Execution with Oracle Policy Distillation," Papers 2103.10860, arXiv.org.