Report NEP-MST-2025-06-30

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:

• Eleni Gousgounis & Scott Mixon & Tugkan Tuzun & Clara Vega, 2025. "Market Liquidity in Treasury Futures Market During March 2020," Finance and Economics Discussion Series 2025-038, Board of Governors of the Federal Reserve System (U.S.).
• Comerton-Forde, Carole & Ford, Billy & Foucault, Thierry & Jurkatis, Simon, 2025. "Investors as a liquidity backstop in corporate bond markets," Bank of England working papers 1126, Bank of England.
• Emmanouil Sfendourakis, 2025. "Multi-dimensional queue-reactive model and signal-driven models: a unified framework," Papers 2506.11843, arXiv.org.
• Wenhao Guo & Yuda Wang & Zeqiao Huang & Changjiang Zhang & Shumin ma, 2025. "Trading Under Uncertainty: A Distribution-Based Strategy for Futures Markets Using FutureQuant Transformer," Papers 2505.05595, arXiv.org.
• Mihai Cucuringu & Kang Li & Chao Zhang, 2025. "Forecasting Intraday Volume in Equity Markets with Machine Learning," Papers 2505.08180, arXiv.org.
• Philippe Bergault & Pierre Cardaliaguet & Wenbin Yan, 2025. "Optimal hedging of an informed broker facing many traders," Papers 2506.08992, arXiv.org.