Printed from https://ideas.repec.org/n/nep-mst/2024-02-12.html
Report NEP-MST-2024-02-12
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:
- Mohammed Salek & Damien Challet & Ioane Muni Toke, 2024, "Equity auction dynamics: latent liquidity models with activity acceleration," Papers, arXiv.org, number 2401.06724, Jan, revised Jul 2024.
- Huang, Alan Guoming & Wermers, Russ & Xue, Jinming, 2023, ""Buy the rumor, sell the news": Liquidity provision by bond funds following corporate news events," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 23-07.
- Philippe Bergault & Leandro S'anchez-Betancourt, 2024, "A Mean Field Game between Informed Traders and a Broker," Papers, arXiv.org, number 2401.05257, Jan.
- Kenan Wood & Maurice Herlihy & Hammurabi Mendes & Jonad Pulaj, 2024, "Expiring Assets in Automated Market Makers," Papers, arXiv.org, number 2401.04289, Jan.
- Joseph Najnudel & Shen-Ning Tung & Kazutoshi Yamazaki & Ju-Yi Yen, 2024, "An arbitrage driven price dynamics of Automated Market Makers in the presence of fees," Papers, arXiv.org, number 2401.01526, Jan.
- Alessio Brini & Giacomo Toscano, 2024, "SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks," Papers, arXiv.org, number 2401.06249, Jan, revised Jan 2025.