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Report NEP-MST-2022-08-15
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:
- Jin Fang & Jiacheng Weng & Yi Xiang & Xinwen Zhang, 2022, "Imitate then Transcend: Multi-Agent Optimal Execution with Dual-Window Denoise PPO," Papers, arXiv.org, number 2206.10736, Jun.
- Mark Joseph Bennett, 2022, "Accelerating Machine Learning Training Time for Limit Order Book Prediction," Papers, arXiv.org, number 2206.09041, Jun.
- Bruno Gav{s}perov & Zvonko Kostanjv{c}ar, 2022, "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model," Papers, arXiv.org, number 2207.09951, Jul.