Report NEP-MST-2022-09-05

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:

• Kara Karpman & Sumanta Basu & David Easley, 2022. "Learning Financial Networks with High-frequency Trade Data," Papers 2208.03568, arXiv.org.
• Elroi Hadad & Haim Kedar-Levy, 2022. "The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds," Papers 2208.01538, arXiv.org.
• Xi-Ning Zhuang & Zhao-Yun Chen & Yu-Chun Wu & Guo-Ping Guo, 2021. "Quantum Quantitative Trading: High-Frequency Statistical Arbitrage Algorithm," Papers 2104.14214, arXiv.org.
• Kyungsub Lee, 2022. "Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures," Papers 2207.05939, arXiv.org, revised Sep 2024.
• Mostafa Shabani & Dat Thanh Tran & Juho Kanniainen & Alexandros Iosifidis, 2022. "Augmented Bilinear Network for Incremental Multi-Stock Time-Series Classification," Papers 2207.11577, arXiv.org.
• Adam Khakhar & Xi Chen, 2022. "Delta Hedging Liquidity Positions on Automated Market Makers," Papers 2208.03318, arXiv.org, revised Dec 2022.