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Report NEP-MST-2023-05-22
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:
- Kyungsub Lee, 2023, "Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data," Papers, arXiv.org, number 2304.11883, Apr.
- Carsten H. Chong & Viktor Todorov, 2023, "Asymptotic Expansions for High-Frequency Option Data," Papers, arXiv.org, number 2304.12450, Apr, revised Feb 2025.