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Report NEP-MST-2024-12-30
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:
- Qi Deng & Zhong-Guo Zhou, 2024. "Daily Liquidity Jump and Diffusion, and Treatment on Crypto Wash Trading," Papers 2411.05803, arXiv.org.
- Christian D. Blakely, 2024. "High resolution microprice estimates from limit orderbook data using hyperdimensional vector Tsetlin Machines," Papers 2411.13594, arXiv.org.
- Lars Fluri & A. Ege Yilmaz & Denis Bieri & Thomas Ankenbrand & Aurelio Perucca, 2024. "Simulating Liquidity: Agent-Based Modeling of Illiquid Markets for Fractional Ownership," Papers 2411.13381, arXiv.org, revised Dec 2024.
- Sorouralsadat Fatemi & Yuheng Hu, 2024. "FinVision: A Multi-Agent Framework for Stock Market Prediction," Papers 2411.08899, arXiv.org.
- Hanwool Lee & Heehwan Park, 2024. "IVE: Enhanced Probabilistic Forecasting of Intraday Volume Ratio with Transformers," Papers 2411.10956, arXiv.org.