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Report NEP-MST-2023-10-02
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:
- Haochen Li & Yi Cao & Maria Polukarov & Carmine Ventre, 2023, "An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics," Papers, arXiv.org, number 2308.14235, Aug, revised Jun 2024.
- Timothy DeLise, 2023, "Deep Semi-Supervised Anomaly Detection for Finding Fraud in the Futures Market," Papers, arXiv.org, number 2309.00088, Aug.
- Song Wei & Andrea Coletta & Svitlana Vyetrenko & Tucker Balch, 2023, "INTAGS: Interactive Agent-Guided Simulation," Papers, arXiv.org, number 2309.01784, Sep, revised Nov 2023.
- Florent Gallien & Sergei Glebkin & Serge Kassibrakis & Semyon Malamud & Alberto Teguia, 2023, "Price Formation in the Foreign Exchange Market," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-68, Aug.
- Aleksy Leeuwenkamp & Wentao Hu, 2023, "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers, arXiv.org, number 2309.00025, Aug.