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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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
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, arXiv.org, number 2505.01962, May, revised Aug 2025.
- 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, arXiv.org, number 2505.22678, May.
- Reed Douglas, 2025, "Does Off-Exchange Trading Affect Prices and Liquidity on Exchanges?," The OFR Blog, Office of Financial Research, US Department of the Treasury, number 25-05, Jun.
- Chen Hu & Kouxiao Zhang, 2025, "Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures," Papers, arXiv.org, number 2505.17388, May.
- Reed Douglas, 2025, "The Reliability of Odd-Lot Liquidity," Working Papers, Office of Financial Research, US Department of the Treasury, number 25-01, Jun.