Report NEP-MST-2023-08-21

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:

• Wenqian Huang & Peter O'Neill & Angelo Ranaldo & Shihao Yu, 2023. "HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading," Swiss Finance Institute Research Paper Series 23-48, Swiss Finance Institute.
• David Evangelista & Yuri Thamsten, 2023. "Approximately optimal trade execution strategies under fast mean-reversion," Papers 2307.07024, arXiv.org, revised Aug 2023.
• Andrea Canidio & Robin Fritsch, 2023. "Arbitrageurs' profits, LVR, and sandwich attacks: batch trading as an AMM design response," Papers 2307.02074, arXiv.org, revised Feb 2024.
• Zhou Fang & Haiqing Xu, 2023. "Over-the-Counter Market Making via Reinforcement Learning," Papers 2307.01816, arXiv.org.
• Zhou Fang & Haiqing Xu, 2023. "Market Making of Options via Reinforcement Learning," Papers 2307.01814, arXiv.org.
• Ana Sasi-Brodesky & Iota Kaousar Nassr, 2023. "DeFi liquidations: Volatility and liquidity," OECD Working Papers on Finance, Insurance and Private Pensions 48, OECD Publishing.
• Altmeyer, Patrick & Boneva, Leva & Kinston, Rafael & Saha, Shreyosi & Stoja, Evarist, 2023. "Yield curve sensitivity to investor positioning around economic shocks," Bank of England working papers 1029, Bank of England.