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Report NEP-MST-2021-06-28
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:
- Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021, "Algorithmic market making in dealer markets with hedging and market impact," Papers, arXiv.org, number 2106.06974, Jun, revised Dec 2022.
- Giglio, Stefano & Maggiori, Matteo & Ströbel, Johannes & Utkus, Stephen P., 2020, "Inside the Mind of a Stock Market Crash," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14813, May.
- Celso Brunetti & Jeffrey H. Harris & Shawn Mankad, 2021, "Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-017, Mar, DOI: 10.17016/FEDS.2021.017.
- Eyal Neuman & Moritz Vo{ss}, 2021, "Trading with the Crowd," Papers, arXiv.org, number 2106.09267, Jun, revised Mar 2023.
- Riccardo Marcaccioli & Jean-Philippe Bouchaud & Michael Benzaquen, 2021, "Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes," Papers, arXiv.org, number 2106.07040, Jun.
- Michele Costola & Matteo Iacopini & Carlo R. M. A. Santagiustina, 2021, "On the "mementum" of Meme Stocks," Papers, arXiv.org, number 2106.03691, Jun.
- Sriya Anbil & Alyssa G. Anderson & Zeynep Senyuz, 2021, "Are Repo Markets Fragile? Evidence from September 2019," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-028, Apr, DOI: 10.17016/FEDS.2021.028.
- Roberto Mota Navarro & Paulino Monroy Castillero & Francois Leyvraz, 2021, "Time-dependent relations between gaps and returns in a Bitcoin order book," Papers, arXiv.org, number 2106.02187, Jun, revised Jun 2021.
- Francois R. Velde, 2020, "What Happened to the US Economy During the 1918 Influenza Pandemic? A View Through High-Frequency Data," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2020-11, Apr, revised 07 Jul 2020, DOI: 10.21033/wp-2020-11.