Report NEP-MST-2024-07-15

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:

• Antonio Briola & Silvia Bartolucci & Tomaso Aste, 2024. "HLOB -- Information Persistence and Structure in Limit Order Books," Papers 2405.18938, arXiv.org, revised Jun 2024.
• Hamza Bodor & Laurent Carlier, 2024. "A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes," Papers 2405.18594, arXiv.org.
• Johannes Bleher & Michael Bleher, 2024. "An Algebraic Framework for the Modeling of Limit Order Books," Papers 2406.04969, arXiv.org.
• Kerssenfischer, Mark & Helmus, Caspar, 2024. "Outages in sovereign bond markets," Working Paper Series 2944, European Central Bank.
• Zoltan Eisler & Johannes Muhle-Karbe, 2024. "Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost," Papers 2405.18936, arXiv.org, revised Jun 2024.
• Item repec:boa:wpaper:2024 is not listed on IDEAS anymore

• Corinne Powers, 2024. "A Tick-by-Tick Solution for Concentrated Liquidity Provisioning," Papers 2405.18728, arXiv.org.