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Report NEP-MST-2021-09-27
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.
Other reports in NEP-MST
The following items were announced in this report:
- Hans Degryse & Rudy de Winne & Carole Gresse & Richard Payne, 2021. "Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity," Working Papers hal-03338259, HAL.
- Marjolein E. Verhulst & Philippe Debie & Stephan Hageboeck & Joost M. E. Pennings & Cornelis Gardebroek & Axel Naumann & Paul van Leeuwen & Andres A. Trujillo-Barrera & Lorenzo Moneta, 2021. "When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book," Papers 2109.04812, arXiv.org.
- Pietro Saggese & Alessandro Belmonte & Nicola Dimitri & Angelo Facchini & Rainer Bohme, 2021. "Who are the arbitrageurs? Empirical evidence from Bitcoin traders in the Mt. Gox exchange platform," Papers 2109.10958, arXiv.org.
- Masood Tadi & Irina Kortchmeski, 2021. "Evaluation of Dynamic Cointegration-Based Pairs Trading Strategy in the Cryptocurrency Market," Papers 2109.10662, arXiv.org.
- Lawrence Middleton & James Dodd & Simone Rijavec, 2021. "Trading styles and long-run variance of asset prices," Papers 2109.08242, arXiv.org.
- Alessandro Gavazza & Alessandro Lizzeri, 2021. "Frictions in Product Markets," NBER Working Papers 29259, National Bureau of Economic Research, Inc.