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.

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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 2511.02016, arXiv.org.
• 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 2510.27334, arXiv.org.
• Menkveld, Albert J. & Saru, Ion Lucas & Yu, Shihao, 2025. "Price dislocations: insights from trade repository data," ESRB Working Paper Series 152, European Systemic Risk Board.
• Daniele Maria Di Nosse & Federico Gatta & Fabrizio Lillo & Sebastian Jaimungal, 2025. "Deviations from Tradition: Stylized Facts in the Era of DeFi," Papers 2510.22834, arXiv.org.
• Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2025. "An Impulse Control Approach to Market Making in a Hawkes LOB Market," Papers 2510.26438, arXiv.org, revised Oct 2025.
• Paulin Aubert & Etienne Chevalier & Vathana Ly Vath, 2025. "Option market making with hedging-induced market impact," Papers 2511.02518, arXiv.org.