Report NEP-MST-2016-01-18

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:

• Anatoliy Swishchuk & Nelson Vadori, 2016. "A Semi-Markovian Modeling of Limit Order Markets," Papers 1601.01710, arXiv.org.
• Ravi Kashyap, 2016. "Dynamic Multi-Factor Bid-Offer Adjustment Model: A Feedback Mechanism for Dealers (Market Makers) to Deal (Grapple) with the Uncertainty Principle of the Social Sciences," Papers 1601.00085, arXiv.org, revised Feb 2016.
• Justin Sirignano, 2016. "Deep Learning for Limit Order Books," Papers 1601.01987, arXiv.org, revised Jul 2016.
• Roberto Mota Navarro & Hern'an Larralde Ridaura, 2016. "A detailed heterogeneous agent model for a single asset financial market with trading via an order book," Papers 1601.00229, arXiv.org, revised Jul 2016.
• Matthew Diersen, 2015. "Price Discovery and Local Information in Cattle on Feed Reports," Issue Briefs 2015556, South Dakota State University, Department of Economics.