Report NEP-MST-2021-08-16

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:

• Matteo Aquilina & Eric Budish & Peter O'Neill, 2021. "Quantifying the high-frequency trading "arms race"," BIS Working Papers 955, Bank for International Settlements.
• Jean-Philippe Bouchaud, 2021. "The Inelastic Market Hypothesis: A Microstructural Interpretation," Papers 2108.00242, arXiv.org, revised Jan 2022.
• Terrence Hendershott & Dmitry Livdan & Norman Schürhoff, 2021. "Do we need dealers in OTC markets?," Swiss Finance Institute Research Paper Series 21-43, Swiss Finance Institute.
• Eghbal Rahimikia & Stefan Zohren & Ser-Huang Poon, 2021. "Realised Volatility Forecasting: Machine Learning via Financial Word Embedding," Papers 2108.00480, arXiv.org, revised Nov 2024.
• Gündüz, Yalin & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2021. "Lighting up the dark: Liquidity in the German corporate bond market," Discussion Papers 21/2021, Deutsche Bundesbank.