Report NEP-MST-2023-01-02

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Lorenzo Lucchese & Mikko Pakkanen & Almut Veraart, 2022. "The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective," Papers 2211.13777, arXiv.org, revised Oct 2023.
• Robert Czech & Gábor Pintér, 2020. "Informed Trading and the Dynamics of Client-Dealer Connections in Corporate Bond Markets," Discussion Papers 2032, Centre for Macroeconomics (CFM).
• Guglielmo Maria Caporale & Alex Plastun, 2022. "Persistence in High Frequency Financial Data," CESifo Working Paper Series 10045, CESifo.
• Samuel M. Hartzmark & David H. Solomon, 2022. "Predictable Price Pressure," NBER Working Papers 30688, National Bureau of Economic Research, Inc.