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Report NEP-MST-2024-08-26
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:
- Nimalendran, Mahendrarajah & Rzayev, Khaladdin & Sagade, Satchit, 2024, "High-frequency trading in the stock market and the costs of options market making," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 124228, Sep.
- Timothy DeLise, 2024, "The Negative Drift of a Limit Order Fill," Papers, arXiv.org, number 2407.16527, Jul.
- Marcello Monga, 2024, "Automated Market Making and Decentralized Finance," Papers, arXiv.org, number 2407.16885, Jul.
- Hongshen Yang & Avinash Malik, 2024, "Reinforcement Learning Pair Trading: A Dynamic Scaling approach," Papers, arXiv.org, number 2407.16103, Jul, revised Dec 2024.
- Kogana, Shimon & Makarov, Igor & Niessnerc, Marina & Schoar, Antoinette, 2024, "Are cryptos different? Evidence from retail trading," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 122266, Sep.
- Mignot, Sarah & Pellizzari, Paolo & Westerhoff, Frank H., 2024, "Fake news and asset price dynamics," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 192.
- Yacine Aït-Sahalia & Chen Xu Li & Chenxu Li, 2024, "So Many Jumps, So Few News," NBER Working Papers, National Bureau of Economic Research, Inc, number 32746, Jul.
- Abdul Jabbar & Syed Qaisar Jalil, 2024, "A Comprehensive Analysis of Machine Learning Models for Algorithmic Trading of Bitcoin," Papers, arXiv.org, number 2407.18334, Jul.
- Chong Zhang & Xinyi Liu & Zhongmou Zhang & Mingyu Jin & Lingyao Li & Zhenting Wang & Wenyue Hua & Dong Shu & Suiyuan Zhu & Xiaobo Jin & Sujian Li & Mengnan Du & Yongfeng Zhang, 2024, "When AI Meets Finance (StockAgent): Large Language Model-based Stock Trading in Simulated Real-world Environments," Papers, arXiv.org, number 2407.18957, Jul, revised Sep 2024.
- Jaeho Kim & Scott C. Linn & Sora Chon, 2024, "Price Discovery via Long-run Forecast," Inha University IBER Working Paper Series, Inha University, Institute of Business and Economic Research, number 2024-2, Aug.