Printed from https://ideas.repec.org/n/nep-mst/2021-10-25.html
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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
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, arXiv.org, number 2110.09429, Oct.
- Ingomar Krohn & Philippe Mueller & Paul Whelan, 2021, "Foreign Exchange Fixings and Returns Around the Clock," Staff Working Papers, Bank of Canada, number 21-48, Oct, DOI: 10.34989/swp-2021-48.
- Yufei Wu & Mahmoud Mahfouz & Daniele Magazzeni & Manuela Veloso, 2021, "How Robust are Limit Order Book Representations under Data Perturbation?," Papers, arXiv.org, number 2110.04752, Oct.
- Lin Li, 2021, "An Automated Portfolio Trading System with Feature Preprocessing and Recurrent Reinforcement Learning," Papers, arXiv.org, number 2110.05299, Oct, revised Oct 2021.
- David Ardia & Keven Bluteau & Kris Boudt, 2021, "Media abnormal tone, earnings announcements, and the stock market," Papers, arXiv.org, number 2110.10800, Oct.