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Report NEP-MST-2024-04-01
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:
- Felix Lokin & Fenghui Yu, 2024, "Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows," Papers, arXiv.org, number 2403.02572, Mar.
- Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2022, "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Working Papers, University of Liverpool, Department of Economics, number 202212, Mar.
- Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2024, "Limit Order Book Simulations: A Review," Papers, arXiv.org, number 2402.17359, Feb, revised Mar 2024.
- Adele Ravagnani & Fabrizio Lillo & Paola Deriu & Piero Mazzarisi & Francesca Medda & Antonio Russo, 2024, "Dimensionality reduction techniques to support insider trading detection," Papers, arXiv.org, number 2403.00707, Mar, revised May 2024.
- Sung Hoon Choi & Donggyu Kim, 2024, "Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector," Papers, arXiv.org, number 2403.02591, Mar, revised May 2025.
- Peng Yifeng, 2024, "Volatility-based strategy on Chinese equity index ETF options," Papers, arXiv.org, number 2403.00474, Mar, revised Mar 2024.