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Report NEP-MST-2023-05-15
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:
- Vittorio Astarita, 2023, "Risks and opportunities in arbitrage and market-making in blockchain-based currency markets. Part 1 : Risks," Papers, arXiv.org, number 2304.08590, Apr.
- Sebastian Jaimungal & Yuri F. Saporito & Max O. Souza & Yuri Thamsten, 2023, "Optimal Trading in Automatic Market Makers with Deep Learning," Papers, arXiv.org, number 2304.02180, Apr.
- Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev & Yuan Hu, 2023, "Unifying Market Microstructure and Dynamic Asset Pricing," Papers, arXiv.org, number 2304.02356, Apr, revised Feb 2024.
- Soumyadip Sarkar, 2023, "Quantitative Trading using Deep Q Learning," Papers, arXiv.org, number 2304.06037, Apr, revised Feb 2025.
- Artem Lensky & Mingyu Hao, 2023, "Learning to Predict Short-Term Volatility with Order Flow Image Representation," Papers, arXiv.org, number 2304.02472, Apr, revised Mar 2024.
- Eric Budish & Peter Cramton & Albert S. Kyle & Jeongmin Lee & David Malec, 2023, "Flow Trading," NBER Working Papers, National Bureau of Economic Research, Inc, number 31098, Apr.
- Jiageng Liu & Igor Makarov & Antoinette Schoar, 2023, "Anatomy of a Run: The Terra Luna Crash," NBER Working Papers, National Bureau of Economic Research, Inc, number 31160, Apr.