Report NEP-MST-2021-07-12

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, Y-N. & Chen, J. & Linton, O., 2021. "Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model," Cambridge Working Papers in Economics 2150, Faculty of Economics, University of Cambridge.
• Marzagão, Thiago, 2021. "Insider trading in Brazil's stock market," OSF Preprints fu9mg, Center for Open Science.
• Caio Machado & Ana Elisa Pereira, 2020. "Competing for Stock Market Feedback," Documentos de Trabajo 545, Instituto de Economia. Pontificia Universidad Católica de Chile..
• Karamfil Todorov, 2021. "Passive funds affect prices: evidence from the most ETF-dominated asset classes," BIS Working Papers 952, Bank for International Settlements.
• Malick Fall & Waël Louhichi & Jean-Laurent Viviani, 2021. "Forecasting the intra-day effective bid ask spread by combining density forecasts," Post-Print hal-03257268, HAL.
• Alejandro Vicondoa & Andrea Gazzani, 2020. "Bridge Proxy-SVAR: Estimating the Macroeconomic Effects of Shocks Identified at High-Frequency," Documentos de Trabajo 533, Instituto de Economia. Pontificia Universidad Católica de Chile..