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Report NEP-MST-2026-03-30
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:
- Ryuki Hayase & Takanobu Mizuta & Isao Yagi, 2026, "Impact of arbitrage between leveraged ETF and futures on market liquidity during market crash," Papers, arXiv.org, number 2603.05862, Mar.
- Leonardo Baggiani & Martin Herdegen & Leandro Sanchez-Betancourt, 2026, "Competition between DEXs through Dynamic Fees," Papers, arXiv.org, number 2603.09669, Mar.
- Ranvir Rana & Viraj Nadkarni & Niusha Moshrefi & Pramod Viswanath, 2026, "ParlayMarket: Automated Market Making for Parlay-style Joint Contracts," Papers, arXiv.org, number 2603.22596, Mar, revised May 2026.
- Paul P. Hager & Ulrich Horst & Thomas Wagenhofer & Wei Xu, 2026, "Microstructural Foundation of Rough Log-Normal Volatility Models," Papers, arXiv.org, number 2603.13170, Mar.
- Kwok Ping Tsang & Zichao Yang, 2026, "Political Shocks and Price Discovery in Prediction Markets: Evidence from the 2024 U.S. Presidential Election," Papers, arXiv.org, number 2603.03152, Mar, revised Mar 2026.