Report NEP-MST-2020-12-21

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Bilodeau, Yann, 2020. "Deep limit order book events dynamics," Working Papers 20-4, HEC Montreal, Canada Research Chair in Risk Management.
• Joseph P Janzen & Nicolas Legrand, 2019. "Wheat Futures Trading Volume Forecasting and the Value of Extended Trading Hours," Working Papers hal-02945376, HAL.
• Frédéric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Are trading invariants really invariant? Trading costs matter," Post-Print hal-02323318, HAL.
• Czech, Robert & Pintér, Gábor, 2020. "Informed trading and the dynamics of client-dealer connections in corporate bond markets," Bank of England working papers 895, Bank of England, revised 20 Jan 2022.
• L. C. Garcia Del Molino & I. Mastromatteo & Michael Benzaquen & J.-P. Bouchaud, 2020. "The Multivariate Kyle model: More is different," Post-Print hal-02323433, HAL.
• Stefan Muhl & Marc Oliver Rieger & Hung Ling Chen, 2020. "Sign Matters: Stock Movement Based Trading Decisions of Private Investors," Working Paper Series 2020-01, University of Trier, Research Group Quantitative Finance and Risk Analysis.
• Valerio Volpati & Michael Benzaquen & Zoltán Eisler & Iacopo Mastromatteo & Bence Tóth & Jean-Philippe Bouchaud, 2020. "Zooming In on Equity Factor Crowding," Post-Print hal-02567503, HAL.
• Sebastian Infante & Zack Saravay, 2020. "Treasury Market Functioning During the COVID-19 Outbreak: Evidence from Collateral Re-use," FEDS Notes 2020-12-04, Board of Governors of the Federal Reserve System (U.S.).