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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.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
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, arXiv.org, number 2511.15262, Nov.
- Xuzhu ZHENG & Masato UBUKATA & Kosuke OYA, 2025, "Examining Volatility Roughness in the Japanese Stock Market," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 25-17, Nov.
- Babolmorad, N. & Massoud, N., 2025, "Supervising Sentiment Models: Market Signals or Human Expertise?," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2577, Oct.
- Jianhao Su & Yanliang Zhang, 2025, "The disclosure of information about the range of asset value in market," Papers, arXiv.org, number 2511.11405, Nov, revised Jan 2026.
- Ferreira Batista Martins, Igor & Virbickaitè, Audronè & Nguyen, Hoang & Freitas Lopes, Hedibert, 2025, "Volume-driven time-of-day effects in intraday volatility models," Working Papers, Örebro University, School of Business, number 2025:14, Nov.
- Hongyang Yang & Xiao-Yang Liu & Shan Zhong & Anwar Walid, 2025, "Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy," Papers, arXiv.org, number 2511.12120, Nov.