Report NEP-MST-2025-06-16

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:

• Haochuan Wang, 2025. "Heterogeneous Trader Responses to Macroeconomic Surprises: Simulating Order Flow Dynamics," Papers 2505.01962, arXiv.org.
• Jiahao Yang & Ran Fang & Ming Zhang & Jun Zhou, 2025. "An Efficient deep learning model to Predict Stock Price Movement Based on Limit Order Book," Papers 2505.22678, arXiv.org.
• Reed Douglas, 2025. "Does Off-Exchange Trading Affect Prices and Liquidity on Exchanges?," The OFR Blog 25-05, Office of Financial Research, US Department of the Treasury.
• Chen Hu & Kouxiao Zhang, 2025. "Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures," Papers 2505.17388, arXiv.org.
• Reed Douglas, 2025. "The Reliability of Odd-Lot Liquidity," Working Papers 25-01, Office of Financial Research, US Department of the Treasury.