Report NEP-MST-2025-01-06

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:

• Assa Cohen & Mahyar Kargar & Benjamin Lester & Pierre-Olivier Weill, 2024. "Inventory, Market Making, and Liquidity in OTC Markets," Working Papers 24-22, Federal Reserve Bank of Philadelphia.
• Munipalle, Pravith, 2024. "Algorithmic Bot Trading vs. Human Trading: Assessing Retail Trading Implications in Financial Markets," OSF Preprints p98zv, Center for Open Science.
• Sung Hoon Choi & Donggyu Kim, 2024. "Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector," Working Papers 202423, University of California at Riverside, Department of Economics.
• Donggyu Kim & Minseog Oh & Yazhen Wang, 2024. "Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta," Working Papers 202422, University of California at Riverside, Department of Economics.
• Carlo Zarattini & Andrew Aziz & Andrea Barbon, 2024. "Beat the Market An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)," Swiss Finance Institute Research Paper Series 24-97, Swiss Finance Institute.
• Briac Turquet & Pierre Bajgrowicz & O. Scaillet, 2024. "Mean Reversion Trading on the Naphtha Crack," Swiss Finance Institute Research Paper Series 24-101, Swiss Finance Institute.
• Jianqing Fan & Donggyu Kim & Minseok Shin & Yazhen Wang, 2024. "Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data," Working Papers 202415, University of California at Riverside, Department of Economics.
• Christopher J. Neely, 2024. "What Happens to Expected Stock Volatility around Election Day?," On the Economy 99209, Federal Reserve Bank of St. Louis.