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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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
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, arXiv.org, number 2211.13777, Nov, revised Oct 2023.
- Robert Czech & Gábor Pintér, 2020, "Informed Trading and the Dynamics of Client-Dealer Connections in Corporate Bond Markets," Discussion Papers, Centre for Macroeconomics (CFM), number 2032, Dec.
- Guglielmo Maria Caporale & Alex Plastun, 2022, "Persistence in High Frequency Financial Data," CESifo Working Paper Series, CESifo, number 10045.
- Samuel M. Hartzmark & David H. Solomon, 2022, "Predictable Price Pressure," NBER Working Papers, National Bureau of Economic Research, Inc, number 30688, Nov.