Report NEP-MST-2025-11-03

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Cetin, Umut & Danilova, Albina, 2025. "Order routing and market quality: who benefits from internalization?," LSE Research Online Documents on Economics 129686, London School of Economics and Political Science, LSE Library.
• Russ, David, 2025. "Social trading, correlated retail investing and non-fundamental speculation," Discussion Papers 29/2025, Deutsche Bundesbank.
• M. I. Balakaeva & A. Yu. Veretennikov, 2025. "On Bellman equation in the limit order optimization problem for high-frequency trading," Papers 2510.15988, arXiv.org.
• Luigi Foscari & Emanuele Guidotti & Nicol`o Cesa-Bianchi & Tatjana Chavdarova & Alfio Ferrara, 2025. "The Invisible Handshake: Tacit Collusion between Adaptive Market Agents," Papers 2510.15995, arXiv.org.
• Federico Gatta & Fabrizio Lillo & Piero Mazzarisi, 2025. "A high-frequency approach to Realized Risk Measures," Papers 2510.16526, arXiv.org.