Report NEP-MST-2022-08-08

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:

• Emilio Said, 2022. "Market Impact: Empirical Evidence, Theory and Practice," Working Papers hal-03668669, HAL.
• Jin Hyuk Choi & Heeyoung Kwon & Kasper Larsen, 2022. "Trading constraints in continuous-time Kyle models," Papers 2206.08117, arXiv.org.
• Robin Fritsch & Samuel Kaser & Roger Wattenhofer, 2022. "The Economics of Automated Market Makers," Papers 2206.04634, arXiv.org.
• Michele Vodret & Iacopo Mastromatteo & Bence Toth & Michael Benzaquen, 2022. "Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents," Papers 2206.06764, arXiv.org.
• Luyao Zhang & Tianyu Wu & Saad Lahrichi & Carlos-Gustavo Salas-Flores & Jiayi Li, 2022. "A Data Science Pipeline for Algorithmic Trading: A Comparative Study of Applications for Finance and Cryptoeconomics," Papers 2206.14932, arXiv.org.
• Sebastian Frischbier & Jawad Tahir & Christoph Doblander & Arne Hormann & Ruben Mayer & Hans-Arno Jacobsen, 2022. "The DEBS 2022 Grand Challenge: Detecting Trading Trends in Financial Tick Data," Papers 2206.13237, arXiv.org.
• Xiaoqing Wan & Nichole R. Lighthall, 2022. "Disclosure of Investment Advisor and Broker-Dealer Relationships: Impact on Comprehension and Decision Making," Papers 2206.00117, arXiv.org, revised Jun 2022.