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Report NEP-MST-2024-02-12
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, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Mohammed Salek & Damien Challet & Ioane Muni Toke, 2024. "Equity auction dynamics: latent liquidity models with activity acceleration," Papers 2401.06724, arXiv.org, revised Jul 2024.
- Huang, Alan Guoming & Wermers, Russ & Xue, Jinming, 2023. ""Buy the rumor, sell the news": Liquidity provision by bond funds following corporate news events," CFR Working Papers 23-07, University of Cologne, Centre for Financial Research (CFR).
- Philippe Bergault & Leandro S'anchez-Betancourt, 2024. "A Mean Field Game between Informed Traders and a Broker," Papers 2401.05257, arXiv.org.
- Kenan Wood & Maurice Herlihy & Hammurabi Mendes & Jonad Pulaj, 2024. "Expiring Assets in Automated Market Makers," Papers 2401.04289, arXiv.org.
- Joseph Najnudel & Shen-Ning Tung & Kazutoshi Yamazaki & Ju-Yi Yen, 2024. "An arbitrage driven price dynamics of Automated Market Makers in the presence of fees," Papers 2401.01526, arXiv.org.
- Alessio Brini & Giacomo Toscano, 2024. "SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks," Papers 2401.06249, arXiv.org, revised Jan 2025.