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Report NEP-MST-2026-02-16
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:
- Mario Bellia & Kim Christensen & Aleksey Kolokolov & Loriana Pelizzon & Roberto Ren`o, 2026, "Do designated market makers provide liquidity during downward extreme price movements?," Papers, arXiv.org, number 2602.01817, Feb.
- Bartosz Bieganowski & Robert 'Slepaczuk, 2026, "Explainable Patterns in Cryptocurrency Microstructure," Papers, arXiv.org, number 2602.00776, Jan.
- Johannes Muhle-Karbe & Youssef Ouazzani Chahdi & Mathieu Rosenbaum & Gr'egoire Szymanski, 2026, "A unified theory of order flow, market impact, and volatility," Papers, arXiv.org, number 2601.23172, Jan, revised Feb 2026.
- Kim Christensen & Roel C. A. Oomen & Mark Podolskij, 2026, "Fact or friction: Jumps at ultra high frequency," Papers, arXiv.org, number 2602.10925, Feb.
- Kofman, Paul & Martens, Martin, , "Interaction Between the London and New York Stock Markets During Common Trading Hours," Department of Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 267773, DOI: 10.22004/ag.econ.267773.