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Report NEP-MST-2021-08-23
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:
- Martin Herdegen & Johannes Muhle-Karbe & Florian Stebegg, 2021, "Liquidity Provision with Adverse Selection and Inventory Costs," Papers, arXiv.org, number 2107.12094, Jul.
- Ivan Jericevich & Patrick Chang & Tim Gebbie, 2021, "Simulation and estimation of an agent-based market-model with a matching engine," Papers, arXiv.org, number 2108.07806, Aug, revised Aug 2021.
- Emmanouil Sfendourakis & Ioane Muni Toke, 2021, "LOB modeling using Hawkes processes with a state-dependent factor," Papers, arXiv.org, number 2107.12872, Jul, revised Dec 2021.
- Bastian Schäfer & Yuanhua Feng, 2021, "Fast Computation and Bandwidth Selection Algorithms for Smoothing Functional Time Series," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 143, Aug.
- Jason Allen & Milena Wittwer, 2021, "Centralizing Over-the-Counter Markets?," Staff Working Papers, Bank of Canada, number 21-39, Aug, DOI: 10.34989/swp-2021-39.
- Klakow Akepanidtaworn & Rick Di Mascio & Alex Imas & Lawrence Schmidt, 2021, "Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 29076, Jul.