Report NEP-MST-2020-08-10

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:

• Trent Spears & Stefan Zohren & Stephen Roberts, 2020. "Investment sizing with deep learning prediction uncertainties for high-frequency Eurodollar futures trading," Papers 2007.15982, arXiv.org.
• FUKUMA Noritaka & KADOGAWA Yoichi, 2020. "An Overview of Algorithmic Trading in Foreign Exchange Markets and Its Impacts on Market Liquidity," Bank of Japan Review Series 20-E-5, Bank of Japan.
• Daniel Barth & Jay Kahn, 2020. "Basis Trades and Treasury Market Illiquidity," Briefs 20-01, Office of Financial Research, US Department of the Treasury.
• Anouk Faure & Marc Baudry & Simon Quemin, 2020. "Emissions Trading with Transaction Costs," EconomiX Working Papers 2020-19, University of Paris Nanterre, EconomiX.