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Report NEP-MST-2025-05-19
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:
- Kasymkhan Khubiev & Mikhail Semenov, 2025, "Deep Learning Models Meet Financial Data Modalities," Papers, arXiv.org, number 2504.13521, Apr, revised Apr 2025.
- Timoth'ee Fabre & Damien Challet, 2025, "Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks," Papers, arXiv.org, number 2504.15908, Apr.
- Konstantinos Chatziandreou & Sven Karbach, 2025, "Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact," Papers, arXiv.org, number 2504.10282, Apr, revised Nov 2025.
- Alejandro Lopez-Lira, 2025, "Can Large Language Models Trade? Testing Financial Theories with LLM Agents in Market Simulations," Papers, arXiv.org, number 2504.10789, Apr.
- Han, Li, 2025, "Integrating Blockchain and AI in Financial Systems: A Case Study on Cross-Border Payments and High-Frequency Trading Synergies," OSF Preprints, Center for Open Science, number 2mn3f_v1, Apr, DOI: 10.31219/osf.io/2mn3f_v1.
- Mahya Karbalaii, 2025, "Microstructure and Manipulation: Quantifying Pump-and-Dump Dynamics in Cryptocurrency Markets," Papers, arXiv.org, number 2504.15790, Apr.