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Report NEP-MST-2025-11-10
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:
- Patrick Cheridito & Jean-Loup Dupret & Zhexin Wu, 2025, "ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book," Papers, arXiv.org, number 2511.02016, Nov.
- Ali Raza Jafree & Konark Jain & Nick Firoozye, 2025, "When AI Trading Agents Compete: Adverse Selection of Meta-Orders by Reinforcement Learning-Based Market Making," Papers, arXiv.org, number 2510.27334, Oct.
- Menkveld, Albert J. & Saru, Ion Lucas & Yu, Shihao, 2025, "Price dislocations: insights from trade repository data," ESRB Working Paper Series, European Systemic Risk Board, number 152, Nov.
- Daniele Maria Di Nosse & Federico Gatta & Fabrizio Lillo & Sebastian Jaimungal, 2025, "Deviations from Tradition: Stylized Facts in the Era of DeFi," Papers, arXiv.org, number 2510.22834, Oct.
- Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2025, "An Impulse Control Approach to Market Making in a Hawkes LOB Market," Papers, arXiv.org, number 2510.26438, Oct, revised Oct 2025.
- Paulin Aubert & Etienne Chevalier & Vathana Ly Vath, 2025, "Option market making with hedging-induced market impact," Papers, arXiv.org, number 2511.02518, Nov.