Printed from https://ideas.repec.org/n/nep-mst/2025-08-18.html
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-Flow Filtration and Directional Association with Short-Horizon Returns," Papers, arXiv.org, number 2507.22712, Jul, revised Dec 2025.
- Sung Hoon Choi & Donggyu Kim, 2025, "Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility," Papers, arXiv.org, number 2507.22173, Jul.
- Yang Li & Zhi Chen, 2025, "ByteGen: A Tokenizer-Free Generative Model for Orderbook Events in Byte Space," Papers, arXiv.org, number 2508.02247, Aug, 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, National Bureau of Economic Research, Inc, number 34086, Aug.
- Winston Wei Dou & Itay Goldstein & Yan Ji, 2025, "AI-Powered Trading, Algorithmic Collusion, and Price Efficiency," NBER Working Papers, National Bureau of Economic Research, Inc, number 34054, Jul.