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Report NEP-MST-2022-01-17
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:
- Mengoli, Stefano & Pagano, Marco & Pattitoni, Pierpaolo, 2021, "The geography of investor attention," CFS Working Paper Series, Center for Financial Studies (CFS), number 671.
- Rama Cont & Mihai Cucuringu & Chao Zhang, 2021, "Cross-Impact of Order Flow Imbalance in Equity Markets," Papers, arXiv.org, number 2112.13213, Dec, revised Jun 2023.
- Kieran Wood & Sven Giegerich & Stephen Roberts & Stefan Zohren, 2021, "Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture," Papers, arXiv.org, number 2112.08534, Dec, revised Nov 2022.