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Report NEP-MST-2018-10-01
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:
- Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2018, "State-dependent Hawkes processes and their application to limit order book modelling," Papers, arXiv.org, number 1809.08060, Sep, revised Sep 2021.
- Gündüz, Yalin & Ottonello, Giorgio & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2018, "Lighting up the dark: Liquidity in the German corporate bond market," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 230, DOI: 10.2139/ssrn.3253000.
- Prakhar Ganesh & Puneet Rakheja, 2018, "VLSTM: Very Long Short-Term Memory Networks for High-Frequency Trading," Papers, arXiv.org, number 1809.01506, Sep, revised Oct 2020.
- Dave Cliff, 2018, "BSE: A Minimal Simulation of a Limit-Order-Book Stock Exchange," Papers, arXiv.org, number 1809.06027, Sep.