Printed from https://ideas.repec.org/n/nep-mst/2021-10-18.html
Report NEP-MST-2021-10-18
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:
- Myles Sjogren & Timothy DeLise, 2021, "General Compound Hawkes Processes for Mid-Price Prediction," Papers, arXiv.org, number 2110.07075, Oct.
- Item repec:anf:wpaper:8 is not listed on IDEAS anymore
- Mario L'opez P'erez & Ricardo Mansilla, 2021, "Ordinal Synchronization and Typical States in High-Frequency Digital Markets," Papers, arXiv.org, number 2110.07047, Oct, revised Mar 2022.
- Jean-Noel Tuccella & Philip Nadler & Ovidiu c{S}erban, 2021, "Protecting Retail Investors from Order Book Spoofing using a GRU-based Detection Model," Papers, arXiv.org, number 2110.03687, Oct.
- Yufei Wu & Mahmoud Mahfouz & Daniele Magazzeni & Manuela Veloso, 2021, "Towards Robust Representation of Limit Orders Books for Deep Learning Models," Papers, arXiv.org, number 2110.05479, Oct, revised Dec 2022.