Report NEP-MST-2025-12-01

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:

• Tomas Espana & Yadh Hafsi & Fabrizio Lillo & Edoardo Vittori, 2025. "Reinforcement Learning in Queue-Reactive Models: Application to Optimal Execution," Papers 2511.15262, arXiv.org.
• Xuzhu ZHENG & Masato UBUKATA & Kosuke OYA, 2025. "Examining Volatility Roughness in the Japanese Stock Market," Discussion Papers in Economics and Business 25-17, Osaka University, Graduate School of Economics.
• Babolmorad, N. & Massoud, N., 2025. "Supervising Sentiment Models: Market Signals or Human Expertise?," Cambridge Working Papers in Economics 2577, Faculty of Economics, University of Cambridge.
• Jianhao Su & Yanliang Zhang, 2025. "The disclosure of information about the range of asset value in market," Papers 2511.11405, arXiv.org.
• Ferreira Batista Martins, Igor & Virbickaitè, Audronè & Nguyen, Hoang & Freitas Lopes, Hedibert, 2025. "Volume-driven time-of-day effects in intraday volatility models," Working Papers 2025:14, Örebro University, School of Business.
• Hongyang Yang & Xiao-Yang Liu & Shan Zhong & Anwar Walid, 2025. "Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy," Papers 2511.12120, arXiv.org.