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Report NEP-MST-2022-05-02
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:
- Eibelshäuser, Steffen & Smetak, Fabian, 2022, "Frequent batch auctions and informed trading," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 344.
- Martin Magris & Mostafa Shabani & Alexandros Iosifidis, 2022, "Bayesian Bilinear Neural Network for Predicting the Mid-price Dynamics in Limit-Order Book Markets," Papers, arXiv.org, number 2203.03613, Mar, revised Jan 2023.
- Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022, "A mean-field game of market-making against strategic traders," Papers, arXiv.org, number 2203.13053, Mar.