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Report NEP-MST-2021-10-04
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:
- Pankaj Kumar, 2021, "Deep Hawkes Process for High-Frequency Market Making," Papers, arXiv.org, number 2109.15110, Sep.
- Ye-Sheen Lim & Denise Gorse, 2021, "Intra-Day Price Simulation with Generative Adversarial Modelling of the Order Flow," Papers, arXiv.org, number 2109.13905, Sep.
- Peter Reinhard Hansen & Chan Kim & Wade Kimbrough, 2021, "Periodicity in Cryptocurrency Volatility and Liquidity," Papers, arXiv.org, number 2109.12142, Sep, revised Nov 2021.