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Report NEP-MST-2024-10-28
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.
Other reports in NEP-MST
The following items were announced in this report:
- Luca Lalor & Anatoliy Swishchuk, 2024. "Algorithmic and High-Frequency Trading Problems for Semi-Markov and Hawkes Jump-Diffusion Models," Papers 2409.12776, arXiv.org.
- Kyungsub Lee, 2024. "Price predictability in limit order book with deep learning model," Papers 2409.14157, arXiv.org.
- Luca Lalor & Anatoliy Swishchuk, 2024. "Market Simulation under Adverse Selection," Papers 2409.12721, arXiv.org.
- Corgnet, Brice & DeSantis, Mark & Siemroth, Christoph, 2024. "Algorithmic Trading, Price Efficiency and Welfare: An Experimental Approach," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302411, Verein für Socialpolitik / German Economic Association.