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Report NEP-MST-2021-10-11
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:
- Claudio Bellani & Damiano Brigo & Mikko Pakkanen & Leandro Sanchez-Betancourt, 2021, "Non-average price impact in order-driven markets," Papers, arXiv.org, number 2110.00771, Oct, revised Jan 2022.
- Mahmoud Mahfouz & Tucker Balch & Manuela Veloso & Danilo Mandic, 2021, "Learning to Classify and Imitate Trading Agents in Continuous Double Auction Markets," Papers, arXiv.org, number 2110.01325, Oct, revised Oct 2021.
- Robin Fritsch, 2021, "Concentrated Liquidity in Automated Market Makers," Papers, arXiv.org, number 2110.01368, Oct.
- Shijia Song & Handong Li, 2021, "A Method for Predicting VaR by Aggregating Generalized Distributions Driven by the Dynamic Conditional Score," Papers, arXiv.org, number 2110.02953, Oct.