Report NEP-MST-2021-11-22

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:

• Jeremy Turiel & Tomaso Aste, 2021. "Heterogenous criticality in high frequency finance: a phase transition in flash crashes," Papers 2110.13701, arXiv.org, revised Jan 2022.
• M. Eren Akbiyik & Mert Erkul & Killian Kaempf & Vaiva Vasiliauskaite & Nino Antulov-Fantulin, 2021. "Ask "Who", Not "What": Bitcoin Volatility Forecasting with Twitter Data," Papers 2110.14317, arXiv.org, revised Dec 2022.
• Nestoras Chalkidis & Rahul Savani, 2021. "Trading via Selective Classification," Papers 2110.14914, arXiv.org, revised Oct 2021.
• Michael Isichenko, 2021. "Costly Trading," Papers 2110.15239, arXiv.org.