Report NEP-MST-2024-12-16

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Yadh Hafsi & Edoardo Vittori, 2024. "Optimal Execution with Reinforcement Learning," Papers 2411.06389, arXiv.org.
• Etienne Chevalier & Yadh Hafsi & Vathana Ly Vath, 2024. "Optimal Execution under Incomplete Information," Papers 2411.04616, arXiv.org.
• Abdul Rahman & Neelesh Upadhye, 2024. "Hybrid Vector Auto Regression and Neural Network Model for Order Flow Imbalance Prediction in High Frequency Trading," Papers 2411.08382, arXiv.org.
• Hunter Ng, 2024. "How Wash Traders Exploit Market Conditions in Cryptocurrency Markets," Papers 2411.08720, arXiv.org.
• Lyuhong Wang & Jiawei Jiang & Yang Zhao, 2024. "Corporate Fundamentals and Stock Price Co-Movement," Papers 2411.03922, arXiv.org.
• Yeguang Chi & Qionghua & Chu & Wenyan Hao, 2024. "Return-forecasting and Volatility-forecasting Power of On-chain Activities in the Cryptocurrency Market," Papers 2411.06327, arXiv.org.