Report NEP-MST-2023-09-25

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:

• Corgnet, Brice & DeSantis, Mark & Siemroth, Christoph, 2023. "Algorithmic Trading, Price Efficiency and Welfare: An Experimental Approach," Economics Discussion Papers 36273, University of Essex, Department of Economics.
• Sascha Frey & Kang Li & Peer Nagy & Silvia Sapora & Chris Lu & Stefan Zohren & Jakob Foerster & Anisoara Calinescu, 2023. "JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading," Papers 2308.13289, arXiv.org.
• Lorenzo Mercuri & Andrea Perchiazzo & Edit Rroji, 2023. "Investigating Short-Term Dynamics in Green Bond Markets," Papers 2308.12179, arXiv.org.
• Tim Matthies & Thomas Lohden & Stephan Leible & Jun-Patrick Raabe, 2023. "To the Moon: Analyzing Collective Trading Events on the Wings of Sentiment Analysis," Papers 2308.09968, arXiv.org.
• Paul Cochran & Sebastian Infante & Lubomir Petrasek & Zack Saravay & Mary Tian, 2023. "Dealers' Treasury Market Intermediation and the Supplementary Leverage Ratio," FEDS Notes 2023-08-03, Board of Governors of the Federal Reserve System (U.S.).