Report NEP-MST-2024-10-21

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:

• Sagade, Satchit & Scharnowski, Stefan & Theissen, Erik & Westheide, Christian, 2024. "A tale of two cities: Inter-market latency and fast-trader competition," SAFE Working Paper Series 430, Leibniz Institute for Financial Research SAFE.
• Li, D. & Linton, O. B. & Zhang, H., 2024. "Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data," Janeway Institute Working Papers 2424, Faculty of Economics, University of Cambridge.
• Li, D. & Linton, O. B. & Zhang, H., 2024. "Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data," Cambridge Working Papers in Economics 2454, Faculty of Economics, University of Cambridge.
• Item repec:hal:journl:hal-04692482 is not listed on IDEAS anymore

• Henry Dyer & Michael J. Fleming & Or Shachar, 2024. "End‑of‑Month Liquidity in the Treasury Market," Liberty Street Economics 20240924, Federal Reserve Bank of New York.
• Kei Nakagawa & Masanori Hirano & Kentaro Minami & Takanobu Mizuta, 2024. "A Multi-agent Market Model Can Explain the Impact of AI Traders in Financial Markets -- A New Microfoundations of GARCH model," Papers 2409.12516, arXiv.org.
• Michael J. Fleming, 2024. "Has Treasury Market Liquidity Improved in 2024?," Liberty Street Economics 20240923, Federal Reserve Bank of New York.
• Tejas Ramdas & Martin T. Wells, 2024. "Bellwether Trades: Characteristics of Trades influential in Predicting Future Price Movements in Markets," Papers 2409.05192, arXiv.org.