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Report NEP-MST-2026-01-19
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:
- Sungwoo Kang, 2025, "Optimal Signal Extraction from Order Flow: A Matched Filter Perspective on Normalization and Market Microstructure," Papers, arXiv.org, number 2512.18648, Dec, revised Jan 2026.
- Marcel Nutz & Alessandro Prosperi, 2025, "High-Frequency Analysis of a Trading Game with Transient Price Impact," Papers, arXiv.org, number 2512.11765, Dec.
- Fayc{c}al Drissi & Xuchen Wu & Sebastian Jaimungal, 2025, "Equilibrium Liquidity and Risk Offsetting in Decentralised Markets," Papers, arXiv.org, number 2512.19838, Dec, revised Dec 2025.
- Milena Wittwer & Jason Allen, 2026, "Market Power and Capital Constraints," NBER Working Papers, National Bureau of Economic Research, Inc, number 34645, Jan.
- Chabakauri, Georgy & Fos, Vyacheslav & Jiang, Wei, 2025, "Trading ahead of barbarians’ arrival at the gate: insider trading on noninside information," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 127189, Dec.