Report NEP-MST-2020-06-29
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:
- Laura Leal & Mathieu Lauri`ere & Charles-Albert Lehalle, 2020. "Learning a functional control for high-frequency finance," Papers 2006.09611, arXiv.org, revised Feb 2021.
- Kerry Back & Francois Cocquemas & Ibrahim Ekren & Abraham Lioui, 2020. "Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading," Papers 2006.09518, arXiv.org, revised Aug 2021.
- Yuan Hu & Abootaleb Shirvani & Stoyan Stoyanov & Young Shin Kim & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing in Markets with Informed Traders," Papers 2006.02596, arXiv.org, revised Aug 2020.
- Oomen, Roel, 2018. "Price signatures," LSE Research Online Documents on Economics 90481, London School of Economics and Political Science, LSE Library.
- David Byrd & Sruthi Palaparthi & Maria Hybinette & Tucker Hybinette Balch, 2020. "The Importance of Low Latency to Order Book Imbalance Trading Strategies," Papers 2006.08682, arXiv.org.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020. "Inside the Mind of a Stock Market Crash," NBER Working Papers 27272, National Bureau of Economic Research, Inc.
- Croce, Mariano & Farroni, Paolo & Wolfskeil, Isabella, 2020. "When the Markets Get COVID: COntagion, Viruses, and Information Diffusion," CEPR Discussion Papers 14674, C.E.P.R. Discussion Papers.