Report NEP-MST-2021-10-25

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Danial Saef & Odett Nagy & Sergej Sizov & Wolfgang Karl Hardle, 2021. "Understanding jumps in high frequency digital asset markets," Papers 2110.09429, arXiv.org.
• Ingomar Krohn & Philippe Mueller & Paul Whelan, 2021. "Foreign Exchange Fixings and Returns Around the Clock," Staff Working Papers 21-48, Bank of Canada.
• Yufei Wu & Mahmoud Mahfouz & Daniele Magazzeni & Manuela Veloso, 2021. "How Robust are Limit Order Book Representations under Data Perturbation?," Papers 2110.04752, arXiv.org.
• Lin Li, 2021. "An Automated Portfolio Trading System with Feature Preprocessing and Recurrent Reinforcement Learning," Papers 2110.05299, arXiv.org, revised Oct 2021.
• David Ardia & Keven Bluteau & Kris Boudt, 2021. "Media abnormal tone, earnings announcements, and the stock market," Papers 2110.10800, arXiv.org.