Report NEP-MST-2023-08-28

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:

• Luca Mucciante & Alessio Sancetta, 2023. "Estimation of an Order Book Dependent Hawkes Process for Large Datasets," Papers 2307.09077, arXiv.org.
• Agostino Capponi & Albert J. Menkveld & Hongzhong Zhang, 2023. "Large Orders in Small Markets: Execution with Endogenous Liquidity Supply," Tinbergen Institute Discussion Papers 23-040/IV, Tinbergen Institute.
• Sergio Pulido & Mathieu Rosenbaum & Emmanouil Sfendourakis, 2023. "Understanding the worst-kept secret of high-frequency trading," Papers 2307.15599, arXiv.org, revised Jul 2024.
• Alfred Lehar & Christine Parlour & Marius Zoican, 2023. "Fragmentation and optimal liquidity supply on decentralized exchanges," Papers 2307.13772, arXiv.org, revised May 2024.
• Chuheng Zhang & Yitong Duan & Xiaoyu Chen & Jianyu Chen & Jian Li & Li Zhao, 2023. "Towards Generalizable Reinforcement Learning for Trade Execution," Papers 2307.11685, arXiv.org.
• David Ardia & Cl'ement Aymard & Tolga Cenesizoglu, 2023. "Fast and Furious: A High-Frequency Analysis of Robinhood Users' Trading Behavior," Papers 2307.11012, arXiv.org.
• Hamed Amini & Maxim Bichuch & Zachary Feinstein, 2023. "Decentralized Prediction Markets and Sports Books," Papers 2307.08768, arXiv.org, revised May 2024.
• Darrell Duffie & Michael J. Fleming & Frank M. Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer Capacity and U.S. Treasury Market Functionality," Staff Reports 1070, Federal Reserve Bank of New York.
• Umut Cetin & Kasper Larsen, 2023. "Is Kyle's equilibrium model stable?," Papers 2307.09392, arXiv.org, revised Jul 2023.