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Report NEP-MST-2023-11-20
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:
- Marcel Nutz & Kevin Webster & Long Zhao, 2023, "Unwinding Stochastic Order Flow: When to Warehouse Trades," Papers, arXiv.org, number 2310.14144, Oct, revised Nov 2025.
- Amirhossein Sadoghi & Jan Vecer, 2022, "Optimal liquidation problem in illiquid markets," Post-Print, HAL, number hal-03696768, Feb, DOI: 10.1016/j.ejor.2021.05.020.
- Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2023, "Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents," Post-Print, HAL, number hal-03797251.
- Waylon Jepsen & Colin Roberts, 2023, "Analysis of the RMM-01 Market Maker," Papers, arXiv.org, number 2310.14320, Oct.
- Priyanka Bose & Dipanjan Das & Fabio Gritti & Nicola Ruaro & Christopher Kruegel & Giovanni Vigna, 2023, "Exploiting Unfair Advantages: Investigating Opportunistic Trading in the NFT Market," Papers, arXiv.org, number 2310.06844, Sep.