Report NEP-MST-2017-08-13This 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.
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 1708.02715, arXiv.org.
- Claudio Fontana & Markus Pelger & Eckhard Platen, 2017. "Sure profits via flash strategies and the impossibility of predictable jumps," Papers 1708.03099, arXiv.org, revised Jan 2018.
- Mikhail Goykhman & Ali Teimouri, 2017. "Machine learning in sentiment reconstruction of the simulated stock market," Papers 1708.01897, arXiv.org.
- Felix Patzelt & Jean-Philippe Bouchaud, 2017. "Nonlinear price impact from linear models," Papers 1708.02411, arXiv.org.