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Report NEP-MST-2026-04-06
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:
- Tianzuo Hu, 2026, "Neural Hidden Markov Model with Adaptive Granularity Attention for High-Frequency Order Flow Modeling," Papers, arXiv.org, number 2603.20456, Mar.
- Akitada Kasahara & Masahiro Yamada, 2026, "Effectiveness of Trading Pauses: Evidence from the Tokyo Stock Exchange," Discussion Papers in Economics and Business, Osaka University, Graduate School of Economics, number 26-03, Mar.
- Lindner, Vincent & Lucke, Konrad & Pelizzon, Loriana, 2026, "Market transparency and dealer behavior: Lessons from MiFID II/MiFIR transparency requirements," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 119.
- Kyungsub Lee, 2026, "Forecasting duration in high-frequency financial data using a self-exciting flexible residual point process," Papers, arXiv.org, number 2604.00346, Mar.
- Patrick Noble & Mathieu Rosenbaum & Saad Souilmi, 2026, "Bridging the Reality Gap in Limit Order Book Simulation," Papers, arXiv.org, number 2603.24137, Mar.
- Lars Winkelmann & Wenying Yao, 2026, "Breaking news," Papers, arXiv.org, number 2603.22835, Mar.