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Report NEP-MST-2023-10-16
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:
- Peer Nagy & Sascha Frey & Silvia Sapora & Kang Li & Anisoara Calinescu & Stefan Zohren & Jakob Foerster, 2023. "Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network," Papers 2309.00638, arXiv.org.
- Molei Qin & Shuo Sun & Wentao Zhang & Haochong Xia & Xinrun Wang & Bo An, 2023. "EarnHFT: Efficient Hierarchical Reinforcement Learning for High Frequency Trading," Papers 2309.12891, arXiv.org.
- 'Alvaro Cartea & Fayc{c}al Drissi & Marcello Monga, 2023. "Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision," Papers 2309.08431, arXiv.org, revised Jun 2024.
- Wayne Chen & Songwei Chen & Preston Rozwood, 2023. "Improving Capital Efficiency and Impermanent Loss: Multi-Token Proactive Market Maker," Papers 2309.00632, arXiv.org.