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Report NEP-MST-2020-09-21
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:
- Mouhamad Drame, 2020. "Limit Order Book (LOB) shape modeling in presence of heterogeneously informed market participants," Papers 2009.02808, arXiv.org.
- Alla A. Petukhina & Raphael C. G. Reule & Wolfgang Karl Hardle, 2020. "Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies," Papers 2009.04200, arXiv.org.
- Olivier F'eron & Peter Tankov & Laura Tinsi, 2020. "Price formation and optimal trading in intraday electricity markets," Papers 2009.04786, arXiv.org, revised Jun 2021.
- Michael Rollins & Dave Cliff, 2020. "Which Trading Agent is Best? Using a Threaded Parallel Simulation of a Financial Market Changes the Pecking-Order," Papers 2009.06905, arXiv.org.