Report NEP-MST-2021-08-23

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:

• Martin Herdegen & Johannes Muhle-Karbe & Florian Stebegg, 2021. "Liquidity Provision with Adverse Selection and Inventory Costs," Papers 2107.12094, arXiv.org.
• Ivan Jericevich & Patrick Chang & Tim Gebbie, 2021. "Simulation and estimation of an agent-based market-model with a matching engine," Papers 2108.07806, arXiv.org, revised Aug 2021.
• Emmanouil Sfendourakis & Ioane Muni Toke, 2021. "LOB modeling using Hawkes processes with a state-dependent factor," Papers 2107.12872, arXiv.org, revised Dec 2021.
• Bastian Schäfer & Yuanhua Feng, 2021. "Fast Computation and Bandwidth Selection Algorithms for Smoothing Functional Time Series," Working Papers CIE 143, Paderborn University, CIE Center for International Economics.
• Jason Allen & Milena Wittwer, 2021. "Centralizing Over-the-Counter Markets?," Staff Working Papers 21-39, Bank of Canada.
• Klakow Akepanidtaworn & Rick Di Mascio & Alex Imas & Lawrence Schmidt, 2021. "Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors," NBER Working Papers 29076, National Bureau of Economic Research, Inc.