Report NEP-MST-2019-01-21

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:

• Nicolas Baradel & Bruno Bouchard & David Evangelista & Othmane Mounjid, 2019. "Optimal inventory management and order book modeling," Post-Print hal-01710301, HAL.
• Tristan Roger & Wael Bousselmi & Patrick Roger & Marc Willinger, 2018. "Another law of small numbers: patterns of trading prices in experimental markets," Working Papers hal-01954921, HAL.
• Juho Kanniainen & Ye Yue, 2019. "The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach," Papers 1901.02691, arXiv.org.
• Sebastian M. Krause & Jonas A. Fiegen & Thomas Guhr, 2018. "Emergence of stylized facts during the opening of stock markets," Papers 1812.07369, arXiv.org.
• Blume-Werry, Eike & Faber, Thomas & Hirth, Lion & Huber, Claus & Everts, Martin, 2019. "Eyes on the Price: Which Power Generation Technologies Set the Market Price? Price Setting in European Electricity Markets: An Application to the Proposed Dutch Carbon Price Floor," ESP: Energy Scenarios and Policy 281287, Fondazione Eni Enrico Mattei (FEEM).
• Alexander Barzykin & Fabrizio Lillo, 2019. "Optimal VWAP execution under transient price impact," Papers 1901.02327, arXiv.org, revised Jan 2019.