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Report NEP-MST-2022-11-14
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:
- Fernando Moreno-Pino & Stefan Zohren, 2022, "DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions," Papers, arXiv.org, number 2210.04797, Sep, revised Aug 2024.
- Rene Carmona & Claire Zeng, 2022, "Optimal Execution with Identity Optionality," Papers, arXiv.org, number 2210.04167, Oct.
- Alain P. Chaboud & Caren Cox & Michael J. Fleming & Ellen Correia Golay & Yesol Huh & Frank M. Keane & Kyle Lee & Krista B. Schwarz & Clara Vega & Carolyn Windover, 2022, "All-to-All Trading in the U.S. Treasury Market," Staff Reports, Federal Reserve Bank of New York, number 1036, Oct.