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Report NEP-MST-2024-02-05
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.Subscribe to this report: email, RSS, or Mastodon.
Other reports in NEP-MST
The following items were announced in this report:
- Andrey Shternshis & Stefano Marmi, 2023. "Price predictability at ultra-high frequency: Entropy-based randomness test," Papers 2312.16637, arXiv.org, revised May 2024.
- Rohan Kekre & Moritz Lenel, 2023. "The High Frequency Effects of Dollar Swap Lines," Working Papers 2023-17, Princeton University. Economics Department..
- Lin William Cong & Shiyang Huang & Douglas Xu, 2024. "The Rise of Factor Investing: "Passive" Security Design and Market Implications," NBER Working Papers 32016, National Bureau of Economic Research, Inc.
- Alain P. Chaboud & Lisa Chung & Linda S. Goldberg & Anna Nordstrom, 2024. "Towards Increasing Complexity: The Evolution of the FX Market," Liberty Street Economics 20240111, Federal Reserve Bank of New York.
- Vahidin Jeleskovic & Stephen Mackay, 2023. "Intraday Trading Algorithm for Predicting Cryptocurrency Price Movements Using Twitter Big Data Analysis," Papers 2401.00603, arXiv.org.