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.

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