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Report NEP-MST-2020-05-04
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:
- Schnaubelt, Matthias, 2020, "Deep reinforcement learning for the optimal placement of cryptocurrency limit orders," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 05/2020.
- Pushpendu Ghosh & Ariel Neufeld & Jajati Keshari Sahoo, 2020, "Forecasting directional movements of stock prices for intraday trading using LSTM and random forests," Papers, arXiv.org, number 2004.10178, Apr, revised Jun 2021.
- Anastasia Bugaenko, 2020, "Empirical Study of Market Impact Conditional on Order-Flow Imbalance," Papers, arXiv.org, number 2004.08290, Apr, revised Apr 2020.
- Helder Rojas & Artem Logachov & Anatoly Yambartsev, 2020, "Order book dynamics with liquidity fluctuations: limit theorems and large deviations," Papers, arXiv.org, number 2004.10632, Apr, revised Jan 2021.
- Hyoeun Lee & Kiseop Lee, 2020, "Optimal execution with liquidity risk in a diffusive order book market," Papers, arXiv.org, number 2004.10951, Apr.
- Shaun Byck & Ronald Heijmans, 2020, "How much liquidity would a liquidity-saving mechanism save if a liquidity-saving mechanism could save liquidity? A simulation approach for Canada's large-value payment system Shaun Byck," Working Papers, DNB, number 682, Apr.
- Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2020, "The Frequency of One-Day Abnormal Returns and Price Fluctuations in the FOREX," CESifo Working Paper Series, CESifo, number 8196.
- Daniel Bradley & Sinan Gokkaya & Xi Liu & Roni Michaely, 2020, "Propagation of Political Information," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-26, Apr.