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Report NEP-MST-2024-01-22
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:
- Fu, Servanna Mianjun & Kellard, Neil & Verousis, Thanos & Kalaitzoglou, Iordanis, 2024, "High Frequency Trading and Stock Herding," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 37485, Jan.
- Gian Piero Aielli & Davide Pirino, 2023, "Funding Liquidity and Stocks’ Market Liquidity: Structural Estimation From High-Frequency Data," CEIS Research Paper, Tor Vergata University, CEIS, number 568, Nov, revised 28 Nov 2023.
- Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2023, "Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process," Papers, arXiv.org, number 2312.08927, Dec, revised Aug 2024.
- Aaron Wheeler & Jeffrey D. Varner, 2023, "Scalable Agent-Based Modeling for Complex Financial Market Simulations," Papers, arXiv.org, number 2312.14903, Dec, revised Jan 2024.
- Ulrich Horst & Wei Xu & Rouyi Zhang, 2023, "Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility," Papers, arXiv.org, number 2312.08784, Dec, revised Mar 2026.