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Report NEP-MST-2022-12-05
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:
- Cédric Poutré & Georges Dionne & Gabriel Yergeau, 2022, "The Profitability of Lead-Lag Arbitrage at High-Frequency," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 22-5, Sep.
- Ziyi Xu & Xue Cheng, 2022, "Are Large Traders Harmed by Front-running HFTs?," Papers, arXiv.org, number 2211.06046, Nov, revised Jul 2023.
- Michael J. Fleming & Claire Nelson, 2022, "How Liquid Has the Treasury Market Been in 2022?," Liberty Street Economics, Federal Reserve Bank of New York, number 20221115a, Nov.
- Kondor, Peter & Pinter, Gabor, 2022, "Clients’ connections: measuring the role of private information in decentralized markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 110861, Feb.
- Tristan Lim, 2022, "Predictive Crypto-Asset Automated Market Making Architecture for Decentralized Finance using Deep Reinforcement Learning," Papers, arXiv.org, number 2211.01346, Sep, revised Jan 2023.