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Report NEP-MST-2025-09-08
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:
- Mateusz Wilinski & Juho Kanniainen, 2025. "Agent-based model of information diffusion in the limit order book trading," Papers 2508.20672, arXiv.org.
- Patrick Cheridito & Moritz Weiss, 2025. "Reinforcement Learning for Trade Execution with Market Impact," Papers 2507.06345, arXiv.org.
- Przemys{l}aw Rola, 2025. "Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets," Papers 2507.09734, arXiv.org.
- Alexander Barzykin & Philippe Bergault & Olivier Gu'eant & Malo Lemmel, 2025. "Optimal Quoting under Adverse Selection and Price Reading," Papers 2508.20225, arXiv.org.
- Nobuyuki Hanaki & Giulia Iori & Pietro Vassallo, 2025. "Learning and information diffusion in OTC markets: experiments and a computational model," Working Papers 2025: 12, Department of Economics, University of Venice "Ca' Foscari".