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Report NEP-MST-2020-04-20
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:
- Ye-Sheen Lim & Denise Gorse, 2020, "Deep Recurrent Modelling of Stationary Bitcoin Price Formation Using the Order Flow," Papers, arXiv.org, number 2004.01499, Mar.
- Rui Fan & Oleksandr Talavera & Vu Tran, 2020, "Social media and price discovery: the case of cross-listed firms," Discussion Papers, Department of Economics, University of Birmingham, number 20-05, Mar.
- Ioannis Boukas & Damien Ernst & Thibaut Th'eate & Adrien Bolland & Alexandre Huynen & Martin Buchwald & Christelle Wynants & Bertrand Corn'elusse, 2020, "A Deep Reinforcement Learning Framework for Continuous Intraday Market Bidding," Papers, arXiv.org, number 2004.05940, Apr.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020, "Inside the Mind of a Stock Market Crash," Papers, arXiv.org, number 2004.01831, Apr, revised May 2020.
- Ye-Sheen Lim & Denise Gorse, 2020, "Deep Probabilistic Modelling of Price Movements for High-Frequency Trading," Papers, arXiv.org, number 2004.01498, Mar.
- Jos'e E. Figueroa-L'opez & Bei Wu, 2020, "Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging," Papers, arXiv.org, number 2004.01865, Apr, revised Feb 2022.
- P. B. Lerner, 2020, "Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010," Papers, arXiv.org, number 2004.06200, Apr, revised May 2020.