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Report NEP-MST-2025-08-18
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:
- Aditya Nittur Anantha & Shashi Jain & Prithwish Maiti, 2025. "Order Book Filtration and Directional Signal Extraction at High Frequency," Papers 2507.22712, arXiv.org.
- Sung Hoon Choi & Donggyu Kim, 2025. "Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility," Papers 2507.22173, arXiv.org.
- Yang Li & Zhi Chen, 2025. "ByteGen: A Tokenizer-Free Generative Model for Orderbook Events in Byte Space," Papers 2508.02247, arXiv.org, revised Aug 2025.
- Patrick Luo & Enrichetta Ravina & Marco C. Sammon & Luis M. Viceira, 2025. "Retail Investors’ Contrarian Behavior Around News, Attention, and the Momentum Effect," NBER Working Papers 34086, National Bureau of Economic Research, Inc.
- Winston Wei Dou & Itay Goldstein & Yan Ji, 2025. "AI-Powered Trading, Algorithmic Collusion, and Price Efficiency," NBER Working Papers 34054, National Bureau of Economic Research, Inc.