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Report NEP-MST-2022-09-05
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:
- Kara Karpman & Sumanta Basu & David Easley, 2022, "Learning Financial Networks with High-frequency Trade Data," Papers, arXiv.org, number 2208.03568, Aug.
- Elroi Hadad & Haim Kedar-Levy, 2022, "The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds," Papers, arXiv.org, number 2208.01538, Aug.
- Xi-Ning Zhuang & Zhao-Yun Chen & Yu-Chun Wu & Guo-Ping Guo, 2021, "Quantum Quantitative Trading: High-Frequency Statistical Arbitrage Algorithm," Papers, arXiv.org, number 2104.14214, Apr.
- Kyungsub Lee, 2022, "Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures," Papers, arXiv.org, number 2207.05939, Jul, revised Sep 2024.
- Mostafa Shabani & Dat Thanh Tran & Juho Kanniainen & Alexandros Iosifidis, 2022, "Augmented Bilinear Network for Incremental Multi-Stock Time-Series Classification," Papers, arXiv.org, number 2207.11577, Jul.
- Adam Khakhar & Xi Chen, 2022, "Delta Hedging Liquidity Positions on Automated Market Makers," Papers, arXiv.org, number 2208.03318, Aug, revised Dec 2022.