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Report NEP-MST-2020-04-06
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Frédéric Abergel & Côme Huré & Huyên Pham, 2020, "Algorithmic trading in a microstructural limit order book model," Post-Print, HAL, number hal-01514987, Aug, DOI: 10.1080/14697688.2020.1729396.
- Bellia, Mario & Christensen, Kim & Kolokolov, Aleksey & Pelizzon, Loriana & Renò, Roberto, 2022, "Do designated market makers provide liquidity during a flash crash?," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 270, revised 2022.
- Alexander Lipton & Marcos Lopez de Prado, 2020, "A closed-form solution for optimal mean-reverting trading strategies," Papers, arXiv.org, number 2003.10502, Mar.
- Michael Melvin & Wenqiang Pan & Petra Wikstrom, 2020, "Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns," CESifo Working Paper Series, CESifo, number 8143.
- Alfarano, Simone & Banal-Estanol, Albert & Camacho-Cuena, Eva & Iori, Giulia & Kapar, Burcu, 2020, "Centralized vs decentralized markets in the laboratory: The role of connectivity," MPRA Paper, University Library of Munich, Germany, number 99129, Feb.