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 2506.08718, arXiv.org.
• Leonardo Baggiani & Martin Herdegen & Leandro S'anchez-Betancourt, 2025. "Optimal Dynamic Fees in Automated Market Makers," Papers 2506.02869, arXiv.org, 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 2505.05784, arXiv.org, revised May 2025.
• Spyros Galanis, 2025. "No Trade Under Verifiable Information," Papers 2506.04944, arXiv.org.
• Haochuan Wang, 2025. "Exploring Microstructural Dynamics in Cryptocurrency Limit Order Books: Better Inputs Matter More Than Stacking Another Hidden Layer," Papers 2506.05764, arXiv.org, revised Jun 2025.
• Guillaume Maitrier & Jean-Philippe Bouchaud, 2025. "The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility: A Unifying Framework," Papers 2506.07711, arXiv.org, revised Jul 2025.
• Jk{e}drzej Maskiewicz & Pawe{l} Sakowski, 2025. "Can Artificial Intelligence Trade the Stock Market?," Papers 2506.04658, arXiv.org.