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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 1290, Bank for International Settlements.
- Ren'e Aid & Philippe Bergault & Mathieu Rosenbaum, 2025. "Competition and Incentives in a Shared Order Book," Papers 2509.10094, arXiv.org.
- Luca Henrichs & Anton J. Heckens & Thomas Guhr, 2025. "Ultrafast Extreme Events: Empirical Analysis of Mechanisms and Recovery in a Historical Perspective," Papers 2509.10376, arXiv.org.
- Fedor Shabashev, 2025. "Bootstrapping Liquidity in BTC-Denominated Prediction Markets," Papers 2509.11990, arXiv.org.
- Yufei Sun, 2025. "A survey of statistical arbitrage pair trading with machine learning, deep learning, and reinforcement learning methods," Working Papers 2025-22, Faculty of Economic Sciences, University of Warsaw.