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Report NEP-MST-2025-09-01
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:
- Steven Campbell & Philippe Bergault & Jason Milionis & Marcel Nutz, 2025. "Optimal Fees for Liquidity Provision in Automated Market Makers," Papers 2508.08152, arXiv.org.
- Lucas Dyskant & Andre C. Siva & Bruno Sultanum, 2025. "Trading choices," Nova SBE Working Paper Series wp675, Universidade Nova de Lisboa, Nova School of Business and Economics.
- Ivan Letteri, 2025. "A Comparative Analysis of Statistical and Machine Learning Models for Outlier Detection in Bitcoin Limit Order Books," Papers 2507.14960, arXiv.org.
- Jianhao Su & Yanliang Zhang, 2025. "The asymmetrical Acquisition of information about the range of asset value in market," Papers 2508.09615, arXiv.org.
- Zhuohan Wang & Carmine Ventre, 2025. "DiffVolume: Diffusion Models for Volume Generation in Limit Order Books," Papers 2508.08698, arXiv.org.
- Ying Peng & Yifan Zhang & Xin Wang, 2025. "Prediction of high-frequency futures return directions based on the mean uncertainty classification methods: An application in China's future market," Papers 2508.06914, arXiv.org.
- Hardhik Mohanty & Giovanni Zaarour & Bhaskar Krishnamachari, 2025. "Proactive Market Making and Liquidity Analysis for Everlasting Options in DeFi Ecosystems," Papers 2508.07068, arXiv.org.
- Makoto Takahashi, 2025. "Returns and Order Flow Imbalances: Intraday Dynamics and Macroeconomic News Effects," Papers 2508.06788, arXiv.org, revised Sep 2025.
- Can Gao & Brandon Yueyang Han, 2025. "When No News is Good News: Multidimensional Heterogeneous Beliefs in Financial Markets," Swiss Finance Institute Research Paper Series 25-61, Swiss Finance Institute.