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Report NEP-MST-2026-01-26
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:
- Ahmad Makinde, 2026, "Temporal Kolmogorov-Arnold Networks (T-KAN) for High-Frequency Limit Order Book Forecasting: Efficiency, Interpretability, and Alpha Decay," Papers, arXiv.org, number 2601.02310, Jan.
- Kim Christensen & Roel C. A. Oomen & Roberto Ren`o, 2026, "The drift burst hypothesis," Papers, arXiv.org, number 2601.08974, Jan, revised Jan 2026.
- Eunjung Noh, 2026, "A continuous-time Kyle model with price-responsive traders," Papers, arXiv.org, number 2601.09872, Jan.
- Nathan De Carvalho & Youssef Ouazzani Chahdi & Gr'egoire Szymanski, 2026, "Trading with market resistance and concave price impact," Papers, arXiv.org, number 2601.03215, Jan, revised Feb 2026.
- Jin Ma & Weixuan Xia & Jianfeng Zhang, 2025, "Wealth or Stealth? The Camouflage Effect in Insider Trading," Papers, arXiv.org, number 2512.06309, Dec.
- Kim Christensen & Allan Timmermann & Bezirgen Veliyev, 2026, "Warp speed price moves: Jumps after earnings announcements," Papers, arXiv.org, number 2601.08962, Jan, revised Jan 2026.