Report NEP-MST-2020-09-07

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:

• Stepan Gorban & Anna A. Obizhaeva & Yajun Wang, 2020. "Trading in Crowded Markets," Working Papers w0275, New Economic School (NES).
• Albert S. Kyle & Anna A. Obizhaeva, 2020. "Trading Liquidity and Funding Liquidity in Fixed Income Markets: Implications of Market Microstructure Invariance," Working Papers w0271, New Economic School (NES).
• Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna A. Obizhaeva, 2020. "Intraday Trading Invariance in the E-mini S&P 500 Futures Market," Working Papers w0272, New Economic School (NES).
• Albert S. Kyle & Anna A. Obizhaeva, 2020. "Market Microstructure Invariance: A Dynamic Equilibrium Model," Working Papers w0267, New Economic School (NES).
• Peter Belcak & Jan-Peter Calliess & Stefan Zohren, 2020. "Fast Agent-Based Simulation Framework with Applications to Reinforcement Learning and the Study of Trading Latency Effects," Papers 2008.07871, arXiv.org, revised Sep 2022.
• Albert S. Kyle & Anna A. Obizhaeva & Yajun Wang, 2020. "Industrial Organization, Order Internalization, and Invariance," Working Papers w0274, New Economic School (NES).
• Albert S. Kyle & Anna A. Obizhaeva, 2020. "Large Bets and Stock Market Crashes," Working Papers w0269, New Economic School (NES).
• Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna A. Obizhaeva, 2020. "Invariance of Buy-Sell Switching Points," Working Papers w0273, New Economic School (NES).
• Albert S. Kyle & Anna A. Obizhaeva, 2020. "Adverse Selection and Liquidity: From Theory to Practice," Working Papers w0268, New Economic School (NES).
• Albert S. Kyle & Anna A. Obizhaeva, 2020. "The Market Impact Puzzle," Working Papers w0270, New Economic School (NES).
• Sergey Kovbasyuk & Marco Pagano, 2020. "Advertising Arbitrage," Working Papers w0277, New Economic School (NES).
• Victor Olkhov, 2020. "Volatility Depends on Market Trades and Macro Theory," Papers 2008.07907, arXiv.org, revised Jun 2024.
• Alessandra Casella & Antonin Macé, 2020. "Does Vote Trading Improve Welfare?," PSE Working Papers halshs-02922012, HAL.