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Report NEP-MST-2022-12-12
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:
- Defu Cao & Yousef El-Laham & Loc Trinh & Svitlana Vyetrenko & Yan Liu, 2022, "DSLOB: A Synthetic Limit Order Book Dataset for Benchmarking Forecasting Algorithms under Distributional Shift," Papers, arXiv.org, number 2211.11513, Nov.
- Vladim'ir Hol'y, 2022, "An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations," Papers, arXiv.org, number 2211.12376, Nov, revised May 2024.
- Baudry, Marc & Faure, Anouk & Quemin, Simon, 2021, "Emissions trading with transaction costs," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 114321, Jul.