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