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Report NEP-MST-2024-08-26
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, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Nimalendran, Mahendrarajah & Rzayev, Khaladdin & Sagade, Satchit, 2024. "High-frequency trading in the stock market and the costs of options market making," LSE Research Online Documents on Economics 124228, London School of Economics and Political Science, LSE Library.
- Timothy DeLise, 2024. "The Negative Drift of a Limit Order Fill," Papers 2407.16527, arXiv.org.
- Marcello Monga, 2024. "Automated Market Making and Decentralized Finance," Papers 2407.16885, arXiv.org.
- Hongshen Yang & Avinash Malik, 2024. "Reinforcement Learning Pair Trading: A Dynamic Scaling approach," Papers 2407.16103, arXiv.org, revised Dec 2024.
- Kogana, Shimon & Makarov, Igor & Niessnerc, Marina & Schoar, Antoinette, 2024. "Are cryptos different? Evidence from retail trading," LSE Research Online Documents on Economics 122266, London School of Economics and Political Science, LSE Library.
- Mignot, Sarah & Pellizzari, Paolo & Westerhoff, Frank H., 2024. "Fake news and asset price dynamics," BERG Working Paper Series 192, Bamberg University, Bamberg Economic Research Group.
- Yacine Aït-Sahalia & Chen Xu Li & Chenxu Li, 2024. "So Many Jumps, So Few News," NBER Working Papers 32746, National Bureau of Economic Research, Inc.
- Abdul Jabbar & Syed Qaisar Jalil, 2024. "A Comprehensive Analysis of Machine Learning Models for Algorithmic Trading of Bitcoin," Papers 2407.18334, arXiv.org.
- Chong Zhang & Xinyi Liu & Zhongmou Zhang & Mingyu Jin & Lingyao Li & Zhenting Wang & Wenyue Hua & Dong Shu & Suiyuan Zhu & Xiaobo Jin & Sujian Li & Mengnan Du & Yongfeng Zhang, 2024. "When AI Meets Finance (StockAgent): Large Language Model-based Stock Trading in Simulated Real-world Environments," Papers 2407.18957, arXiv.org, revised Sep 2024.
- Jaeho Kim & Scott C. Linn & Sora Chon, 2024. "Price Discovery via Long-run Forecast," Inha University IBER Working Paper Series 2024-2, Inha University, Institute of Business and Economic Research.