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Report NEP-MST-2025-09-29
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:
- Matteo Aquilina & Gbenga Ibikunle & Khaladdin Rzayev & Xuesi Wang, 2025, "The speed premium: high-frequency trading and the cost of capital," BIS Working Papers, Bank for International Settlements, number 1290, Sep.
- Ren'e Aid & Philippe Bergault & Mathieu Rosenbaum, 2025, "Competition and Incentives in a Shared Order Book," Papers, arXiv.org, number 2509.10094, Sep.
- Luca Henrichs & Anton J. Heckens & Thomas Guhr, 2025, "Ultrafast Extreme Events: Empirical Analysis of Mechanisms and Recovery in a Historical Perspective," Papers, arXiv.org, number 2509.10376, Sep, revised Feb 2026.
- Fedor Shabashev, 2025, "Bootstrapping Liquidity in BTC-Denominated Prediction Markets," Papers, arXiv.org, number 2509.11990, Sep.
- Yufei Sun, 2025, "A survey of statistical arbitrage pair trading with machine learning, deep learning, and reinforcement learning methods," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2025-22.