Report NEP-MST-2020-07-20

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Mynbaev, Kairat, 2020. "Using full limit order book for price jump prediction," MPRA Paper 101684, University Library of Munich, Germany.
• Hugh Christensen & Simon Godsill & Richard E Turner, 2020. "Hidden Markov Models Applied To Intraday Momentum Trading With Side Information," Papers 2006.08307, arXiv.org.
• Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2020. "Optimal trade execution in an order book model with stochastic liquidity parameters," Papers 2006.05843, arXiv.org, revised Apr 2021.
• Marc Baudry & Anouk Faure & Simon Quemin, 2020. "Emissions Trading with Transaction Costs," Working Papers 2020.16, FAERE - French Association of Environmental and Resource Economists.
• Michael Karpe, 2020. "An overall view of key problems in algorithmic trading and recent progress," Papers 2006.05515, arXiv.org.
• Ryan Donnelly & Matthew Lorig, 2020. "Optimal Trading with Differing Trade Signals," Papers 2006.13585, arXiv.org, revised Oct 2020.
• Antonio Briola & Jeremy Turiel & Tomaso Aste, 2020. "Deep Learning modeling of Limit Order Book: a comparative perspective," Papers 2007.07319, arXiv.org, revised Oct 2020.