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Report NEP-MST-2021-02-08
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:
- Agostino Capponi & Jos'e E. Figueroa-L'opez & Chuyi Yu, 2021, "Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts," Papers, arXiv.org, number 2101.03086, Jan.
- Yong Shi & Wei Dai & Wen Long & Bo Li, 2021, "Improved ACD-based financial trade durations prediction leveraging LSTM networks and Attention Mechanism," Papers, arXiv.org, number 2101.02736, Jan.
- Antonio Briola & Jeremy Turiel & Riccardo Marcaccioli & Alvaro Cauderan & Tomaso Aste, 2021, "Deep Reinforcement Learning for Active High Frequency Trading," Papers, arXiv.org, number 2101.07107, Jan, revised Aug 2023.
- Item repec:bon:boncrc:crctr224_2020_257 is not listed on IDEAS anymore
- Marcos Costa Santos Carreira, 2021, "Exponential Kernels with Latency in Hawkes Processes: Applications in Finance," Papers, arXiv.org, number 2101.06348, Jan.