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Report NEP-MST-2025-01-27
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:
- Rama Cont & Pierre Degond & Xuan Lifan, 2025, "A mathematical framework for modelling order book dynamics," Post-Print, HAL, number hal-03968767.
- Youssef Ouazzani Chahdi & Mathieu Rosenbaum & Gr'egoire Szymanski, 2024, "A theory of passive market impact," Papers, arXiv.org, number 2412.07461, Dec.
- Mohammed Salek & Damien Challet & Ioane Muni Toke, 2024, "Equity auction dynamics: latent liquidity models with activity acceleration," Post-Print, HAL, number hal-04391810, Jan, DOI: 10.1080/14697688.2024.2367680.
- Yun Chen-Shue & Yukun Li & Jiongmin Yong, 2024, "A Limit Order Book Model for High Frequency Trading with Rough Volatility," Papers, arXiv.org, number 2412.16850, Dec.
- Ritwika Chattopadhyay & Abhishek Malichkar & Zhixuan Ren & Xinyue Zhang, 2024, "Volatility-Volume Order Slicing via Statistical Analysis," Papers, arXiv.org, number 2412.12482, Dec.