Report NEP-MST-2026-02-02

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:

• Salam Rabindrajit Luwang & Kundan Mukhia & Buddha Nath Sharma & Md. Nurujjaman & Anish Rai & Filippo Petroni, 2026, "Intraday Limit Order Price Change Transition Dynamics Across Market Capitalizations Through Markov Analysis," Papers, arXiv.org, number 2601.04959, Jan.
• Sungwoo Kang, 2026, "The Physics of Price Discovery: Deconvolving Information, Volatility, and the Critical Breakdown of Signal during Retail Herding," Papers, arXiv.org, number 2601.11602, Jan.
• Jo~ao P. da Cruz, 2026, "Pregeometric Origins of Liquidity Geometry in Financial Order Books," Papers, arXiv.org, number 2601.17245, Jan.
• Bastien Baude & Damien Challet & Ioane Muni Toke, 2026, "Optimal execution on Uniswap v2/v3 under transient price impact," Papers, arXiv.org, number 2601.03799, Jan.
• Jo~ao P. da Cruz, 2026, "Directional Liquidity and Geometric Shear in Pregeometric Order Books," Papers, arXiv.org, number 2601.19369, Jan.
• Kim Christensen & Ulrich Hounyo & Mark Podolskij, 2026, "Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment," Papers, arXiv.org, number 2601.16613, Jan.
• Kim Christensen & Mark Podolskij & Nopporn Thamrongrat & Bezirgen Veliyev, 2026, "Inference from high-frequency data: A subsampling approach," Papers, arXiv.org, number 2601.16668, Jan.