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Report NEP-MST-2023-12-11
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:
- Koti S. Jaddu & Paul A. Bilokon, 2023, "Combining Deep Learning on Order Books with Reinforcement Learning for Profitable Trading," Papers, arXiv.org, number 2311.02088, Oct.
- Darrell Duffie & Michael Fleming & Frank Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023, "Dealer capacity and US Treasury market functionality," BIS Working Papers, Bank for International Settlements, number 1138, Oct.
- Simon Jurkatis & Andreas Schrimpf & Karamfil Todorov & Nicholas Vause, 2023, "Relationship discounts incorporate bond trading," BIS Working Papers, Bank for International Settlements, number 1140, Nov.
- Peter Reinhard Hansen & Yiyao Luo, 2023, "Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas," Papers, arXiv.org, number 2310.19992, Oct.
- Junqian Li & Yuqing Liu & Nhan Buu Phan & Shino Takayama, 2023, "An Experimental Analysis of Dynamic Informed Trading," Discussion Papers Series, School of Economics, University of Queensland, Australia, number 665, Nov.