Printed from https://ideas.repec.org/n/nep-mst/2020-09-21.html
Report NEP-MST-2020-09-21
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Mouhamad Drame, 2020, "Limit Order Book (LOB) shape modeling in presence of heterogeneously informed market participants," Papers, arXiv.org, number 2009.02808, Sep.
- Alla A. Petukhina & Raphael C. G. Reule & Wolfgang Karl Hardle, 2020, "Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies," Papers, arXiv.org, number 2009.04200, Sep.
- Olivier F'eron & Peter Tankov & Laura Tinsi, 2020, "Price formation and optimal trading in intraday electricity markets," Papers, arXiv.org, number 2009.04786, Sep, revised Jun 2021.
- Michael Rollins & Dave Cliff, 2020, "Which Trading Agent is Best? Using a Threaded Parallel Simulation of a Financial Market Changes the Pecking-Order," Papers, arXiv.org, number 2009.06905, Sep.