Report NEP-MST-2021-03-15

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:

• Zijian Shi & Yu Chen & John Cartlidge, 2021. "The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network," Papers 2103.01670, arXiv.org.
• Henry Hanifan & Ben Watson & John Cartlidge & Dave Cliff, 2021. "Time Matters: Exploring the Effects of Urgency and Reaction Speed in Automated Traders," Papers 2103.00600, arXiv.org.
• Tobias Dieler & Loriano Mancini & Norman Schürhoff, 2021. "(In)efficient repo markets," Swiss Finance Institute Research Paper Series 21-10, Swiss Finance Institute.
• Mustafayeva, Konul & Wang, Weining, 2020. "Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data," IRTG 1792 Discussion Papers 2020-025, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".