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Report NEP-MST-2020-03-23
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, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Umut c{C}etin & Henri Waelbroeck, 2020, "Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics," Papers, arXiv.org, number 2003.04425, Mar.
- Michael J. Fleming & Giang Nguyen, 2019, "Assessing the Price Impact of Treasury Market Workups," Liberty Street Economics, Federal Reserve Bank of New York, number 20190306c, Mar.
- Jin Ma & Eunjung Noh, 2020, "Equilibrium Model of Limit Order Books: A Mean-field Game View," Papers, arXiv.org, number 2002.12857, Feb, revised Mar 2020.
- Ben Moews & Gbenga Ibikunle, 2020, "Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning," Papers, arXiv.org, number 2002.10385, Feb.
- Barbora Malinska, 2020, "Time-Varying Pricing of Risk in Sovereign Bond Futures Returns," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2020/7, Mar, revised Mar 2020.
- James Wallbridge, 2020, "Transformers for Limit Order Books," Papers, arXiv.org, number 2003.00130, Feb.
- Micah Goldblum & Avi Schwarzschild & Ankit B. Patel & Tom Goldstein, 2020, "Adversarial Attacks on Machine Learning Systems for High-Frequency Trading," Papers, arXiv.org, number 2002.09565, Feb, revised Oct 2021.
- Michael J. Fleming & Amanda Wahlers, 2018, "Dealer Trading and Positioning in Floating Rate Notes," Liberty Street Economics, Federal Reserve Bank of New York, number 20180326, Mar.
- Su, Tian & Dharmasena, Senarath & Leatham, David J. & Gilliland, Charles E, , "Market Integration and Price Discovery of Regional Land Markets in Texas," 2020 Annual Meeting, February 1-4, 2020, Louisville, Kentucky, Southern Agricultural Economics Association, number 302339, DOI: 10.22004/ag.econ.302339.
- Michael J. Fleming & John Sporn, 2013, "How Liquid Is the Inflation Swap Market?," Liberty Street Economics, Federal Reserve Bank of New York, number 20130401, Apr.