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Report NEP-MST-2024-07-29
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.
Other reports in NEP-MST
The following items were announced in this report:
- H. Peter Boswijk & Jun Yu & Yang Zu, 2024. "Testing for an Explosive Bubble using High-Frequency Volatility," Working Papers 202402, University of Macau, Faculty of Business Administration.
- Alexander Barzykin & Robert Boyce & Eyal Neuman, 2024. "Unwinding Toxic Flow with Partial Information," Papers 2407.04510, arXiv.org.
- Arnold, Lutz & Russ, David, 2024. "Listening to the noise: On price efficiency with dynamic trading," Discussion Papers 19/2024, Deutsche Bundesbank.
- Johannes Muhle-Karbe & Eyal Neuman & Yonatan Shadmi, 2024. "Fluid-Limits of Fragmented Limit-Order Markets," Papers 2407.04354, arXiv.org.