Printed from https://ideas.repec.org/n/nep-mst/2020-09-07.html
Report NEP-MST-2020-09-07
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:
- Stepan Gorban & Anna A. Obizhaeva & Yajun Wang, 2020, "Trading in Crowded Markets," Working Papers, New Economic School (NES), number w0275, Aug.
- Albert S. Kyle & Anna A. Obizhaeva, 2020, "Trading Liquidity and Funding Liquidity in Fixed Income Markets: Implications of Market Microstructure Invariance," Working Papers, New Economic School (NES), number w0271, Aug.
- Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna A. Obizhaeva, 2020, "Intraday Trading Invariance in the E-mini S&P 500 Futures Market," Working Papers, New Economic School (NES), number w0272, Aug.
- Albert S. Kyle & Anna A. Obizhaeva, 2020, "Market Microstructure Invariance: A Dynamic Equilibrium Model," Working Papers, New Economic School (NES), number w0267, Jul.
- Peter Belcak & Jan-Peter Calliess & Stefan Zohren, 2020, "Fast Agent-Based Simulation Framework with Applications to Reinforcement Learning and the Study of Trading Latency Effects," Papers, arXiv.org, number 2008.07871, Aug, revised Sep 2022.
- Albert S. Kyle & Anna A. Obizhaeva & Yajun Wang, 2020, "Industrial Organization, Order Internalization, and Invariance," Working Papers, New Economic School (NES), number w0274, Aug.
- Albert S. Kyle & Anna A. Obizhaeva, 2020, "Large Bets and Stock Market Crashes," Working Papers, New Economic School (NES), number w0269, Aug.
- Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna A. Obizhaeva, 2020, "Invariance of Buy-Sell Switching Points," Working Papers, New Economic School (NES), number w0273, Aug.
- Albert S. Kyle & Anna A. Obizhaeva, 2020, "Adverse Selection and Liquidity: From Theory to Practice," Working Papers, New Economic School (NES), number w0268, Jul.
- Albert S. Kyle & Anna A. Obizhaeva, 2020, "The Market Impact Puzzle," Working Papers, New Economic School (NES), number w0270, Aug.
- Sergey Kovbasyuk & Marco Pagano, 2020, "Advertising Arbitrage," Working Papers, New Economic School (NES), number w0277, Aug.
- Victor Olkhov, 2020, "Volatility Depends on Market Trades and Macro Theory," Papers, arXiv.org, number 2008.07907, Aug, revised Jun 2024.
- Item repec:hal:psewpa:halshs-02922012 is not listed on IDEAS anymore