Printed from https://ideas.repec.org/n/nep-mst/2020-02-03.html
Report NEP-MST-2020-02-03
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:
- Vassilis Polimenis, 2020, "Trading on the Floor after Sweeping the Book," Papers, arXiv.org, number 2001.06445, Jan.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2020, "High-Frequency Jump Tests: Which Test Should We Use?," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 3/20.
- Boyue Fang & Yutong Feng, 2019, "Design of High-Frequency Trading Algorithm Based on Machine Learning," Papers, arXiv.org, number 1912.10343, Dec.
- Sabiou M. Inoua, 2019, "News-Driven Expectations and Volatility Clustering," Working Papers, Chapman University, Economic Science Institute, number 19-33.