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Report NEP-MST-2025-06-23
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:
- Juan Plazuelo Pascual & Carlos Tardon Rubio & Juan Toro Cebada & Angel Hernando Veciana, 2025, "Price Discovery in Cryptocurrency Markets," Papers, arXiv.org, number 2506.08718, Jun.
- Leonardo Baggiani & Martin Herdegen & Leandro S'anchez-Betancourt, 2025, "Optimal Dynamic Fees in Automated Market Makers," Papers, arXiv.org, number 2506.02869, Jun, revised Jun 2025.
- Yang Li & Zhi Chen & Steve Yang, 2025, "FlowHFT: Imitation Learning via Flow Matching Policy for Optimal High-Frequency Trading under Diverse Market Conditions," Papers, arXiv.org, number 2505.05784, May, revised May 2025.
- Spyros Galanis, 2025, "No Trade Under Verifiable Information," Papers, arXiv.org, number 2506.04944, Jun.
- Haochuan Wang, 2025, "Exploring Microstructural Dynamics in Cryptocurrency Limit Order Books: Better Inputs Matter More Than Stacking Another Hidden Layer," Papers, arXiv.org, number 2506.05764, Jun, revised Jun 2025.
- Guillaume Maitrier & Jean-Philippe Bouchaud, 2025, "The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility: A Unifying Framework," Papers, arXiv.org, number 2506.07711, Jun, revised Mar 2026.
- Jk{e}drzej Maskiewicz & Pawe{l} Sakowski, 2025, "Can Artificial Intelligence Trade the Stock Market?," Papers, arXiv.org, number 2506.04658, Jun.