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Report NEP-MST-2024-09-09
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:
- Dominic Bauer & Derick Diana & Tim Gebbie, 2024, "Correlation emergence in two coupled simulated limit order books," Papers, arXiv.org, number 2408.03181, Aug.
- Wee Ling Tan & Stephen Roberts & Stefan Zohren, 2024, "Deep Learning for Options Trading: An End-To-End Approach," Papers, arXiv.org, number 2407.21791, Jul.
- Rhys Bidder & Jamie Coen & Caterina Lepore & Laura Silvestri, 2024, "Whose asset sales matter?," Bank of England working papers, Bank of England, number 1088, Aug.
- Yuheng Zheng & Zihan Ding, 2024, "Reinforcement Learning in High-frequency Market Making," Papers, arXiv.org, number 2407.21025, Jul, revised Aug 2024.
- Colliard, Jean-Edouard & Foucault, Thierry & Lovo, Stefano, 2022, "Algorithmic Pricing and Liquidity in Securities Markets," HEC Research Papers Series, HEC Paris, number 1459, Oct, DOI: 10.2139/ssrn.4252858.