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Report NEP-MST-2023-04-17
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:
- Zijian Shi & John Cartlidge, 2023, "Neural Stochastic Agent-Based Limit Order Book Simulation: A Hybrid Methodology," Papers, arXiv.org, number 2303.00080, Feb.
- Jason Milionis & Ciamac C. Moallemi & Tim Roughgarden, 2023, "A Myersonian Framework for Optimal Liquidity Provision in Automated Market Makers," Papers, arXiv.org, number 2303.00208, Feb, revised Nov 2023.
- Greeshma Balabhadra & El Mehdi Ainasse & Pawel Polak, 2023, "High-Frequency Volatility Estimation with Fast Multiple Change Points Detection," Papers, arXiv.org, number 2303.10550, Mar, revised Jun 2024.
- Andrea Barbon & Angelo Ranaldo, 2023, "NFT Bubbles," Papers, arXiv.org, number 2303.06051, Mar.