Report NEP-MST-2025-09-22

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:

• Timoth'ee Hornek & Sergio Potenciano Menci & Ivan Pavi'c, 2025. "Directional Price Forecasting in the Continuous Intraday Market under Consideration of Neighboring Products and Limit Order Books," Papers 2509.04452, arXiv.org.
• Cetin, Umut, 2025. "Insider trading with penalties in continuous time," LSE Research Online Documents on Economics 128957, London School of Economics and Political Science, LSE Library.
• Alfred Backhouse & Kang Li & Jakob Foerster & Anisoara Calinescu & Stefan Zohren, 2025. "Painting the market: generative diffusion models for financial limit order book simulation and forecasting," Papers 2509.05107, arXiv.org.
• Rafael Zimmer & Oswaldo Luiz do Valle Costa, 2025. "Reinforcement Learning-Based Market Making as a Stochastic Control on Non-Stationary Limit Order Book Dynamics," Papers 2509.12456, arXiv.org.
• Philippe Bergault & S'ebastien Bieber & Leandro S'anchez-Betancourt, 2025. "Optimal Exit Time for Liquidity Providers in Automated Market Makers," Papers 2509.06510, arXiv.org.
• Jianyong Fang & Sitong Wu & Junfan Tong, 2025. "From Data Acquisition to Lag Modeling: Quantitative Exploration of A-Share Market with Low-Coupling System Design," Papers 2506.19255, arXiv.org.