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Report NEP-MST-2021-02-22
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:
- Alexis Stenfors & Masayuki Susai, 2021, "Stealth Trading in FX Markets," Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group, number 2021-02, Feb.
- Roberto Riccó & Barbara Rindi & Duane J. Seppi, 2021, "Optimal Market Asset Pricing," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 675.
- Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli, 2021, "Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility," CEIS Research Paper, Tor Vergata University, CEIS, number 506, Jan, revised 08 Nov 2021.
- Zihao Zhang & Bryan Lim & Stefan Zohren, 2021, "Deep Learning for Market by Order Data," Papers, arXiv.org, number 2102.08811, Feb, revised Jul 2021.