Report NEP-MST-2022-11-07

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:

• Rama Cont & Alessandro Micheli & Eyal Neuman, 2022. "Fast and Slow Optimal Trading with Exogenous Information," Papers 2210.01901, arXiv.org, revised Jun 2023.
• Mariia Kosar & Sergei Mikhalishchev, 2022. "Inattentive Price Discovery in ETFs," CERGE-EI Working Papers wp735, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Naseh Majidi & Mahdi Shamsi & Farokh Marvasti, 2022. "Algorithmic Trading Using Continuous Action Space Deep Reinforcement Learning," Papers 2210.03469, arXiv.org.
• Nelson Vadori & Leo Ardon & Sumitra Ganesh & Thomas Spooner & Selim Amrouni & Jared Vann & Mengda Xu & Zeyu Zheng & Tucker Balch & Manuela Veloso, 2022. "Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations," Papers 2210.07184, arXiv.org, revised Aug 2023.
• Javier Gil-Bazo & Juan F. Imbet, 2022. "Tweeting for money: Social media and mutual fund flows," Economics Working Papers 1846, Department of Economics and Business, Universitat Pompeu Fabra.