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Report NEP-MST-2022-11-21
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.Subscribe to this report: email, RSS, or Mastodon.
Other reports in NEP-MST
The following items were announced in this report:
- Michele Vodret & Bence Tóth & Iacopo Mastromatteo & Michael Benzaquen, 2022. "Do fundamentals shape the price response? A critical assessment of linear impact models," Post-Print hal-03797375, HAL.
- Riccardo Marcaccioli & Jean-Philippe Bouchaud & Michael Benzaquen, 2022. "Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes," Post-Print hal-03378876, HAL.
- Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2022. "Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents," Working Papers hal-03797251, HAL.
- Andrea Coletta & Aymeric Moulin & Svitlana Vyetrenko & Tucker Balch, 2022. "Learning to simulate realistic limit order book markets from data as a World Agent," Papers 2210.09897, arXiv.org.