Report NEP-MST-2021-04-05This 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.
The following items were announced in this report:
- Garabedian, Garo & Inghelbrecht, Koen, 2020. "The Multiple Dimensions of Liquidity," Research Technical Papers 11/RT/20, Central Bank of Ireland.
- Q. Wang & Y. Zhou & J. Shen, 2021. "Intraday trading strategy based on time series and machine learning for Chinese stock market," Papers 2103.13507, arXiv.org.
- Jiahua Xu & Krzysztof Paruch & Simon Cousaert & Yebo Feng, 2021. "SoK: Decentralized Exchanges (DEX) with Automated Market Maker (AMM) Protocols," Papers 2103.12732, arXiv.org, revised Dec 2022.
- Olav Syrstad & Ganesh Viswanath-Natraj, 2020. "Price-setting in the foreign exchange swap market: Evidence from order flow," Working Paper 2020/16, Norges Bank.
- Karush Suri & Xiao Qi Shi & Konstantinos Plataniotis & Yuri Lawryshyn, 2021. "TradeR: Practical Deep Hierarchical Reinforcement Learning for Trade Execution," Papers 2104.00620, arXiv.org.