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Report NEP-MST-2025-03-17
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:
- Leonardo Berti & Gjergji Kasneci, 2025, "TLOB: A Novel Transformer Model with Dual Attention for Price Trend Prediction with Limit Order Book Data," Papers, arXiv.org, number 2502.15757, Feb, revised May 2025.
- S. R. Luwang & A. Rai & Md. Nurujjaman & F. Petroni, 2025, "Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach," Papers, arXiv.org, number 2502.07625, Feb.
- Mohammed Salek & Damien Challet & Ioane Muni Toke, 2024, "Price impact in equity auctions: zero, then linear," Post-Print, HAL, number hal-03938660.
- Peer Nagy & Sascha Frey & Kang Li & Bidipta Sarkar & Svitlana Vyetrenko & Stefan Zohren & Ani Calinescu & Jakob Foerster, 2025, "LOB-Bench: Benchmarking Generative AI for Finance -- an Application to Limit Order Book Data," Papers, arXiv.org, number 2502.09172, Feb, revised Jun 2025.