Report NEP-MST-2020-06-08

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:

• Alexander Wehrli & Spencer Wheatley & Didier Sornette, 2020. "Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes," Swiss Finance Institute Research Paper Series 20-39, Swiss Finance Institute.
• Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Working Papers hal-02567495, HAL.
• Valerio Volpati & Michael Benzaquen & Zoltán Eisler & Iacopo Mastromatteo & Bence Tóth & Jean-Philippe Bouchaud, 2020. "Zooming In on Equity Factor Crowding," Working Papers hal-02567503, HAL.
• Craig Burnside & Mario Cerrato & Zhekai Zhang, 2018. "Foreign exchange order fl ow as a risk factor," Working Papers 2018_04, Business School - Economics, University of Glasgow.