Report NEP-MST-2024-06-17

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.

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Other reports in NEP-MST

The following items were announced in this report:

• G. Ibikunle & B. Moews & K. Rzayev, 2024. "Can machine learning unlock new insights into high-frequency trading?," Papers 2405.08101, arXiv.org.
• Xue Cheng & Meng Wang & Ziyi Xu, 2024. "Mean Field Game of High-Frequency Anticipatory Trading," Papers 2404.18200, arXiv.org.
• Brad Bachu & Xin Wan & Ciamac C. Moallemi, 2024. "Quantifying Price Improvement in Order Flow Auctions," Papers 2405.00537, arXiv.org, revised May 2024.
• Salam Rabindrajit Luwang & Anish Rai & Md. Nurujjaman & Om Prakash & Chittaranjan Hens, 2024. "High-Frequency Stock Market Order Transitions during the US-China Trade War 2018: A Discrete-Time Markov Chain Analysis," Papers 2405.05634, arXiv.org.
• H. Peter Boswijk & Jun Yu & Yang Zu, 2024. "Testing for an Explosive Bubble using High-Frequency Volatility," Papers 2405.02087, arXiv.org.