Report NEP-MST-2020-12-21

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Yann Bilodeau, 2020, "Deep limit order book events dynamics," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 20-4, Dec.
• Joseph P Janzen & Nicolas Legrand, 2019, "Wheat Futures Trading Volume Forecasting and the Value of Extended Trading Hours," Working Papers, HAL, number hal-02945376, May.
• Frédéric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2020, "Are trading invariants really invariant? Trading costs matter," Post-Print, HAL, number hal-02323318.
• Robert Czech & Gábor Pintér, 2020, "Informed trading and the dynamics of client-dealer connections in corporate bond markets," Bank of England working papers, Bank of England, number 895, Nov.
• L. C. Garcia Del Molino & I. Mastromatteo & Michael Benzaquen & J.-P. Bouchaud, 2020, "The Multivariate Kyle model: More is different," Post-Print, HAL, number hal-02323433.
• Stefan Muhl & Marc Oliver Rieger & Hung Ling Chen, 2020, "Sign Matters: Stock Movement Based Trading Decisions of Private Investors," Working Paper Series, University of Trier, Research Group Quantitative Finance and Risk Analysis, number 2020-01.
• Valerio Volpati & Michael Benzaquen & Zoltán Eisler & Iacopo Mastromatteo & Bence Tóth & Jean-Philippe Bouchaud, 2020, "Zooming In on Equity Factor Crowding," Post-Print, HAL, number hal-02567503.
• Sebastian Infante & Zack Saravay, 2020, "Treasury Market Functioning During the COVID-19 Outbreak: Evidence from Collateral Re-use," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2020-12-04, Dec, DOI: 10.17016/2380-7172.2755.