Uncovering Market Disorder and Liquidity Trends Detection
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- E. Bacry & K. Dayri & J. F. Muzy, 2011. "Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data," Papers 1112.1838, arXiv.org.
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- Yadh Hafsi & Edoardo Vittori, 2024. "Optimal Execution with Reinforcement Learning," Papers 2411.06389, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-MST-2023-11-06 (Market Microstructure)
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