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Report NEP-MST-2025-02-03
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:
- Briola, Antonio & Bartolucci, Silvia & Aste, Tomaso, 2025, "HLOB–Information persistence and structure in limit order books," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 126623, Mar.
- Ramshreyas Rao, 2025, "Agent-Based Simulation of a Perpetual Futures Market," Papers, arXiv.org, number 2501.09404, Jan.
- Hamza Bodor & Laurent Carlier, 2025, "Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation," Papers, arXiv.org, number 2501.08822, Jan.
- Zetao Zheng & Guoan Li & Deqiang Ouyang & Decui Liang & Jie Shao, 2024, "Limit Order Book Event Stream Prediction with Diffusion Model," Papers, arXiv.org, number 2412.09631, Nov.
- Adamantios Ntakaris & Gbenga Ibikunle, 2024, "Online High-Frequency Trading Stock Forecasting with Automated Feature Clustering and Radial Basis Function Neural Networks," Papers, arXiv.org, number 2412.16160, Nov, revised Dec 2024.
- Steven Campbell & Marcel Nutz, 2025, "Optimal Execution among $N$ Traders with Transient Price Impact," Papers, arXiv.org, number 2501.09638, Jan.