Report NEP-MST-2018-12-17

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:

• Zihao Zhang & Stefan Zohren & Stephen Roberts, 2018. "BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books," Papers 1811.10041, arXiv.org.
• Brugler, James & Linton, Oliver & Noss, Joseph & Pedace, Lucas, 2018. "The cross-sectional spillovers of single stock circuit breakers," Bank of England working papers 759, Bank of England.
• Zhang, Shengxing, 2018. "Liquidity misallocation in an over-the-counter market," LSE Research Online Documents on Economics 86800, London School of Economics and Political Science, LSE Library.
• Vangelis Bacoyannis & Vacslav Glukhov & Tom Jin & Jonathan Kochems & Doo Re Song, 2018. "Idiosyncrasies and challenges of data driven learning in electronic trading," Papers 1811.09549, arXiv.org, revised Nov 2018.
• Nikolaus Hautsch & Christoph Scheuch & Stefan Voigt, 2018. "Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets," Papers 1812.00595, arXiv.org, revised Oct 2023.