Report NEP-MST-2021-10-18

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:

• Myles Sjogren & Timothy DeLise, 2021. "General Compound Hawkes Processes for Mid-Price Prediction," Papers 2110.07075, arXiv.org.
• NIdhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2022. "When is the Order to Trade Ratio fee effective?," Working Papers 8, xKDR.
• Mario L'opez P'erez & Ricardo Mansilla, 2021. "Ordinal Synchronization and Typical States in High-Frequency Digital Markets," Papers 2110.07047, arXiv.org, revised Mar 2022.
• Jean-Noel Tuccella & Philip Nadler & Ovidiu c{S}erban, 2021. "Protecting Retail Investors from Order Book Spoofing using a GRU-based Detection Model," Papers 2110.03687, arXiv.org.
• Yufei Wu & Mahmoud Mahfouz & Daniele Magazzeni & Manuela Veloso, 2021. "Towards Robust Representation of Limit Orders Books for Deep Learning Models," Papers 2110.05479, arXiv.org, revised Dec 2022.