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Report NEP-MST-2026-03-09
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:
- Kim Christensen & Mark Podolskij, 2026, "Asymptotic theory of range-based multipower variation," Papers, arXiv.org, number 2602.19287, Feb.
- Pranay Anchuri, 2026, "RAmmStein: Regime Adaptation in Mean-reverting Markets with Stein Thresholds -- Optimal Impulse Control in Concentrated AMMs," Papers, arXiv.org, number 2602.19419, Feb, revised Mar 2026.
- Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2026, "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Papers, arXiv.org, number 2602.19645, Feb.
- Szymon Lis & Robert 'Slepaczuk & Pawe{l} Sakowski, 2026, "Overreaction as an indicator for momentum in algorithmic trading: A Case of AAPL stocks," Papers, arXiv.org, number 2602.18912, Feb.
- Fabrizio Cipollini & Giulia Cruciani & Giampiero M. Gallo & Alessandra Insana & Edoardo Otranto & Fabio Spagnolo, 2026, "VOLatility Archive for Realized Estimates (VOLARE)," Papers, arXiv.org, number 2602.19732, Feb.
- Krishna Neupane & Igor Griva & Robert Axtell & William Kennedy & Jason Kinser, 2026, "Detecting and Explaining Unlawful Insider Trading: A Shapley Value and Causal Forest Approach to Identifying Key Drivers and Causal Relationships," Papers, arXiv.org, number 2602.19841, Feb.
- Dawn Chinagorom-Abiakalam & Fernando Leibovici, 2026, "U.S. Import Price Dynamics Following the 2025 Tariffs," On the Economy, Federal Reserve Bank of St. Louis, number 102825, Feb.
- Giulio Marino & Manuel Naviglio & Francesco Tarantelli & Fabrizio Lillo, 2026, "Predicting the success of new crypto-tokens: the Pump.fun case," Papers, arXiv.org, number 2602.14860, Feb.