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Report NEP-MST-2021-07-26
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:
- Matteo Aquilina & Eric Budish & Peter O'Neill, 2021. "Quantifying the High-Frequency Trading "Arms Race"," NBER Working Papers 29011, National Bureau of Economic Research, Inc.
- Philip Protter & Qianfan Wu & Shihao Yang, 2021. "Order Book Queue Hawkes-Markovian Modeling," Papers 2107.09629, arXiv.org, revised Jan 2022.
- Carol Alexander & Daniel Heck & Andreas Kaeck, 2021. "The Role of Binance in Bitcoin Volatility Transmission," Papers 2107.00298, arXiv.org, revised Aug 2021.
- Andreas A. Aigner & Gurvinder Dhaliwal, 2021. "UNISWAP: Impermanent Loss and Risk Profile of a Liquidity Provider," Papers 2106.14404, arXiv.org.
- Kevin Clark & Adam Copeland & R. Jay Kahn & Antoine Martin & Mark E. Paddrik & Benjamin Taylor, 2021. "Intraday Timing of General Collateral Repo Markets," Liberty Street Economics 20210714, Federal Reserve Bank of New York.