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Report NEP-MST-2020-07-13
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:
- Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020, "Coming early to the party," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2020:11.
- Boyarchenko, Nina & Larsen, Lars & Whelan, Paul, 2020, "The Overnight Drift," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 14462, Mar.
- Michael Karpe & Jin Fang & Zhongyao Ma & Chen Wang, 2020, "Multi-Agent Reinforcement Learning in a Realistic Limit Order Book Market Simulation," Papers, arXiv.org, number 2006.05574, Jun, revised Sep 2020.
- Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2020, "C\`adl\`ag semimartingale strategies for optimal trade execution in stochastic order book models," Papers, arXiv.org, number 2006.05863, Jun, revised Jul 2021.
- Craig Burnside & Mario Cerrato & Zhekai Zhang, 2020, "Foreign Exchange Order Flow as a Risk Factor," NBER Working Papers, National Bureau of Economic Research, Inc, number 27199, May.