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Report NEP-MST-2017-08-13
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:
- Kyle Bechler & Michael Ludkovski, 2017, "Order Flows and Limit Order Book Resiliency on the Meso-Scale," Papers, arXiv.org, number 1708.02715, Aug.
- Claudio Fontana & Markus Pelger & Eckhard Platen, 2017, "On the existence of sure profits via flash strategies," Papers, arXiv.org, number 1708.03099, Aug, revised Jul 2019.
- Mikhail Goykhman & Ali Teimouri, 2017, "Machine learning in sentiment reconstruction of the simulated stock market," Papers, arXiv.org, number 1708.01897, Aug.
- Felix Patzelt & Jean-Philippe Bouchaud, 2017, "Nonlinear price impact from linear models," Papers, arXiv.org, number 1708.02411, Aug.