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Report NEP-MST-2021-03-22
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:
- Jasmin Gider & Simon N. M. Schmickler & Christian Westheide, 2021, "High-Frequency Trading and Price Informativeness," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2021_257, Jan.
- Yusen Lin & Jinming Xue & Louiqa Raschid, 2021, "Predicting the Behavior of Dealers in Over-The-Counter Corporate Bond Markets," Papers, arXiv.org, number 2103.09098, Mar.
- Agostino Capponi & Ruizhe Jia, 2021, "The Adoption of Blockchain-based Decentralized Exchanges," Papers, arXiv.org, number 2103.08842, Mar, revised Jul 2021.
- Charles-Albert Lehalle & Eyal Neuman & Segev Shlomov, 2021, "Phase Transitions in Kyle's Model with Market Maker Profit Incentives," Papers, arXiv.org, number 2103.04481, Mar.
- Parley Ruogu Yang, 2021, "Forecasting high-frequency financial time series: an adaptive learning approach with the order book data," Papers, arXiv.org, number 2103.00264, Feb.
- Liao, Jingchi & Peng, Cheng & Zhu, Ning, 2019, "Price and volume dynamics in bubbles," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 102057, Apr.