Report NEP-MST-2024-01-08

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Ioane Muni Toke & Nakahiro Yoshida, 2022. "Marked point processes and intensity ratios for limit order book modeling," Post-Print hal-02465428, HAL.
• Agostino Capponi & Ruizhe Jia & Brian Zhu, 2023. "The Paradox Of Just-in-Time Liquidity in Decentralized Exchanges: More Providers Can Sometimes Mean Less Liquidity," Papers 2311.18164, arXiv.org, revised Feb 2024.
• Bruno Durin & Mathieu Rosenbaum & Gr'egoire Szymanski, 2023. "The two square root laws of market impact and the role of sophisticated market participants," Papers 2311.18283, arXiv.org.
• Lucas Dyskant & André F. Silva & Bruno Sultanum, 2023. "Dealer costs and customer choice," Working Paper 23-13, Federal Reserve Bank of Richmond.
• Fernando D. Chague & Bruno Giovannetti & Bernard Herskovic, 2023. "Information Leakage from Short Sellers," NBER Working Papers 31927, National Bureau of Economic Research, Inc.
• Rohan Kekre & Moritz Lenel, 2023. "The High Frequency Effects of Dollar Swap Lines," NBER Working Papers 31901, National Bureau of Economic Research, Inc.