Report NEP-MST-2025-08-25

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:

• Aditya Nittur Anantha & Shashi Jain & Shivam Goyal & Dhruv Misra, 2025. "High Frequency Quoting Under Liquidity Constraints," Papers 2507.05749, arXiv.org.
• Akash Deep & Chris Monico & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2025. "Binary Tree Option Pricing Under Market Microstructure Effects: A Random Forest Approach," Papers 2507.16701, arXiv.org.
• Wv{e}i Zh=ang, 2025. "Neural Network-Based Algorithmic Trading Systems: Multi-Timeframe Analysis and High-Frequency Execution in Cryptocurrency Markets," Papers 2508.02356, arXiv.org.
• Xinbing Kong & Cheng Liu & Bin Wu, 2025. "Data Synchronization at High Frequencies," Papers 2507.12220, arXiv.org.