Report NEP-MST-2026-01-12

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:

• Dobrislav Dobrev & Joon Kim & Edith X. Liu & Marius del Giudice Rodriguez, 2025. "Order Flow Imbalances and Amplification of Price Movements: Evidence from U.S. Treasury Markets," FEDS Notes 2025-11-03, Board of Governors of the Federal Reserve System (U.S.).
• Mainak Singha, 2025. "Hidden Order in Trades Predicts the Size of Price Moves," Papers 2512.15720, arXiv.org.
• Yijia Chen, 2025. "The Red Queen's Trap: Limits of Deep Evolution in High-Frequency Trading," Papers 2512.15732, arXiv.org.
• Tingting Ding & Steven F. Lehrer, 2025. "Waiting for the Right Offer: Laboratory Evidence on How News Affects Bargaining," NBER Working Papers 34543, National Bureau of Economic Research, Inc.
• Anthropelos, Michail & Kardaras, Constantinos, 2024. "Price impact under heterogeneous beliefs and restricted participation," LSE Research Online Documents on Economics 121058, London School of Economics and Political Science, LSE Library.
• Tianyi Ma, 2025. "Design of a Decentralized Fixed-Income Lending Automated Market Maker Protocol Supporting Arbitrary Maturities," Papers 2512.16080, arXiv.org.
• Michele Fabi & Viraj Nadkarni & Leonardo Leone & Matheus X. V. Ferreira, 2025. "Automated Market Making for Energy Sharing," Papers 2512.24432, arXiv.org.