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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, arXiv.org, number 2509.04452, Aug.
- Cetin, Umut, 2025, "Insider trading with penalties in continuous time," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 128957, Sep.
- 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, arXiv.org, number 2509.05107, Sep.
- 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, arXiv.org, number 2509.12456, Sep, revised Feb 2026.
- Philippe Bergault & S'ebastien Bieber & Leandro S'anchez-Betancourt, 2025, "Optimal Exit Time for Liquidity Providers in Automated Market Makers," Papers, arXiv.org, number 2509.06510, Sep, revised Oct 2025.
- 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, arXiv.org, number 2506.19255, Jun.