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Report NEP-MST-2023-08-14
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:
- Timoth'ee Fabre & Vincent Ragel, 2023, "Interpretable ML for High-Frequency Execution," Papers, arXiv.org, number 2307.04863, Jul, revised Sep 2024.
- Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2023, "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Papers, arXiv.org, number 2307.01348, Jul.
- Adrian Fernandez-Perez & Joëlle Miffre & Tilman Schoen & Ayesha Scott, 2023, "Do spot market auction data help price discovery?," Post-Print, HAL, number hal-04121327, Sep, DOI: 10.1016/j.jcomm.2023.100335.
- Ioanna-Yvonni Tsaknaki & Fabrizio Lillo & Piero Mazzarisi, 2023, "Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods," Papers, arXiv.org, number 2307.02375, Jul, revised May 2024.
- José da Fonseca & Yannick Malevergne, 2021, "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Post-Print, HAL, number halshs-03590382, Jul, DOI: 10.1016/j.jedc.2021.104137.
- Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023, "Testing for Multi-Asset Systemic Tail Risk," Working Papers, Federal Reserve Bank of St. Louis, number 2023-016, Jul, revised 09 Sep 2025, DOI: 10.20955/wp.2023.016.