Report NEP-MST-2025-05-26

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:

• Yichi Zhang & Mihai Cucuringu & Alexander Y. Shestopaloff & Stefan Zohren, 2025. "ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order Books," Papers 2504.20349, arXiv.org, revised May 2025.
• 'Alvaro Cartea & Leandro S'anchez-Betancourt, 2025. "A Simple Strategy to Deal with Toxic Flow," Papers 2503.18005, arXiv.org.
• Roberto Perli, 2025. "Recent Developments in Treasury Market Liquidity and Funding Conditions," Speech 99972, Federal Reserve Bank of New York.
• Stephen P. Ferris & Jan Hanousek, Jr. & Jan Hanousek & Jolana Stejskalová, 2025. "The Power of the Crowd: Retail Investors and the Cost of Capital," MENDELU Working Papers in Business and Economics 2025-105, Mendel University in Brno, Faculty of Business and Economics.