Printed from https://ideas.repec.org/n/nep-mst/2022-03-07.html
Report NEP-MST-2022-03-07
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:
- Kyungsub Lee & Byoung Ki Seo, 2022, "Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data," Papers, arXiv.org, number 2201.10173, Jan.
- Shuo Sun & Wanqi Xue & Rundong Wang & Xu He & Junlei Zhu & Jian Li & Bo An, 2021, "DeepScalper: A Risk-Aware Reinforcement Learning Framework to Capture Fleeting Intraday Trading Opportunities," Papers, arXiv.org, number 2201.09058, Dec, revised Aug 2022.
- Halim, Edward & Riyanto, Yohanes E. & Roy, Nilanjan & Wang, Yan, 2022, "The Bright Side of Dark Markets: Experiments," MPRA Paper, University Library of Munich, Germany, number 111803, Feb.
- Akey, Pat & Grégoire, Vincent & Martineau, Charles, 2021, "Price Revelation from Insider Trading: Evidence from Hacked Earnings News," SocArXiv, Center for Open Science, number qe6tu, Dec, DOI: 10.31219/osf.io/qe6tu.
- George Bouzianis & Lane P. Hughston & Leandro S'anchez-Betancourt, 2022, "Information-Based Trading," Papers, arXiv.org, number 2201.08875, Jan, revised Jan 2024.