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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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
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, number hal-02465428, DOI: 10.1007/s42081-021-00137-9.
- 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, arXiv.org, number 2311.18164, Nov, 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, arXiv.org, number 2311.18283, Nov.
- Lucas Dyskant & André F. Silva & Bruno Sultanum, 2023, "Dealer costs and customer choice," Working Paper, Federal Reserve Bank of Richmond, number 23-13, Dec.
- Fernando D. Chague & Bruno Giovannetti & Bernard Herskovic, 2023, "Information Leakage from Short Sellers," NBER Working Papers, National Bureau of Economic Research, Inc, number 31927, Dec.
- Rohan Kekre & Moritz Lenel, 2023, "The High Frequency Effects of Dollar Swap Lines," NBER Working Papers, National Bureau of Economic Research, Inc, number 31901, Nov.