Report NEP-MST-2019-12-09

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.

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Other reports in NEP-MST

The following items were announced in this report:

• David Batista Soares & Alain Bretto & Joël Priolon, 2019. "Efficiency and volatility of spot and futures agricultural markets: Impact of trade frequencies [Efficience et volatilité des marchés agricoles spot et à termes: L'impact de la fréquence des transa," Working Papers hal-02364549, HAL.
• Alex S. L. Tse & Harry Zheng, 2019. "Speculative Trading, Prospect Theory and Transaction Costs," Papers 1911.10106, arXiv.org, revised Oct 2022.
• Jin, Muzhao & Kearney, Fearghal & Li, Youwei & Yang, Yung Chiang, 2019. "Intraday Time-series Momentum: Evidence from China," MPRA Paper 97134, University Library of Munich, Germany.
• Zihao Zhang & Stefan Zohren & Stephen Roberts, 2019. "Deep Reinforcement Learning for Trading," Papers 1911.10107, arXiv.org.