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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.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 & Shivam Goyal & Dhruv Misra, 2025, "Event-Time Anchor Selection for Multi-Contract Quoting," Papers, arXiv.org, number 2507.05749, Jul, revised Dec 2025.
- 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, arXiv.org, number 2507.16701, Jul.
- Wv{e}i Zh=ang, 2025, "Neural Network-Based Algorithmic Trading Systems: Multi-Timeframe Analysis and High-Frequency Execution in Cryptocurrency Markets," Papers, arXiv.org, number 2508.02356, Aug.
- Xinbing Kong & Cheng Liu & Bin Wu, 2025, "Data Synchronization at High Frequencies," Papers, arXiv.org, number 2507.12220, Jul.