Printed from https://ideas.repec.org/n/nep-mst/2025-09-01.html
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, arXiv.org, number 2508.08152, Aug.
- Lucas Dyskant & Andre C. Siva & Bruno Sultanum, 2025, "Trading choices," Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics, number wp675.
- Ivan Letteri, 2025, "A Comparative Analysis of Statistical and Machine Learning Models for Outlier Detection in Bitcoin Limit Order Books," Papers, arXiv.org, number 2507.14960, Jul.
- Jianhao Su & Yanliang Zhang, 2025, "The asymmetrical Acquisition of information about the range of asset value in market," Papers, arXiv.org, number 2508.09615, Aug.
- Zhuohan Wang & Carmine Ventre, 2025, "DiffVolume: Diffusion Models for Volume Generation in Limit Order Books," Papers, arXiv.org, number 2508.08698, Aug.
- 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, arXiv.org, number 2508.06914, Aug.
- Hardhik Mohanty & Giovanni Zaarour & Bhaskar Krishnamachari, 2025, "Proactive Market Making and Liquidity Analysis for Everlasting Options in DeFi Ecosystems," Papers, arXiv.org, number 2508.07068, Aug.
- Makoto Takahashi, 2025, "Returns and Order Flow Imbalances: Intraday Dynamics and Macroeconomic News Effects," Papers, arXiv.org, number 2508.06788, Aug, revised Oct 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, Swiss Finance Institute, number 25-61, Jul.