Report NEP-MST-2021-03-22

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:

• Jasmin Gider & Simon N. M. Schmickler & Christian Westheide, 2021. "High-Frequency Trading and Price Informativeness," CRC TR 224 Discussion Paper Series crctr224_2021_257, University of Bonn and University of Mannheim, Germany.
• Yusen Lin & Jinming Xue & Louiqa Raschid, 2021. "Predicting the Behavior of Dealers in Over-The-Counter Corporate Bond Markets," Papers 2103.09098, arXiv.org.
• Agostino Capponi & Ruizhe Jia, 2021. "The Adoption of Blockchain-based Decentralized Exchanges," Papers 2103.08842, arXiv.org, revised Jul 2021.
• Charles-Albert Lehalle & Eyal Neuman & Segev Shlomov, 2021. "Phase Transitions in Kyle's Model with Market Maker Profit Incentives," Papers 2103.04481, arXiv.org.
• Parley Ruogu Yang, 2021. "Forecasting high-frequency financial time series: an adaptive learning approach with the order book data," Papers 2103.00264, arXiv.org.
• Liao, Jingchi & Peng, Cheng & Zhu, Ning, 2019. "Price and volume dynamics in bubbles," LSE Research Online Documents on Economics 102057, London School of Economics and Political Science, LSE Library.