Report NEP-MST-2026-06-29

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:

• Yi Ding & Songze Shi, 2026, "A Fine Lens on Common Trading Flows," Working Papers, University of Macau, Faculty of Business Administration, number 202641, Jun.
• Wenpin Tang, 2026, "Proof of Stake economy under centralized exchanges--a mean field model," Papers, arXiv.org, number 2606.09003, Jun.
• Chris Angstmann & Tim Gebbie, 2026, "Correlation emergence and the Epps effect in two coupled limit order books," Papers, arXiv.org, number 2606.14182, Jun.
• Fenghui Yu, 2026, "Explicit Signal-Adaptive Sequential Optimal Execution Quotes," Papers, arXiv.org, number 2605.24242, May, revised Jun 2026.
• Yuki Nakamura, 2026, "The Privacy Subsidy in Continuous-Time Kyle: Cumulative Welfare under Noise-Perturbed Order-Flow Observation," Papers, arXiv.org, number 2605.25631, May, revised May 2026.
• Frank M. V. Feys, 2026, "Axiomatic Market Making," Papers, arXiv.org, number 2606.09454, Jun.
• Liang Chen & Tse-Chun Lin & Fei Wu & Xingjian Zheng & Eric Zou, 2026, "Beta for Alpha: Neural Engagement in Financial Trading," NBER Working Papers, National Bureau of Economic Research, Inc, number 35345, Jun.
• Patrick Allmis & Paolo Pin & Fernando Vega Redondo, 2026, "Revealing information -- or not -- in a social network of traders," Papers, arXiv.org, number 2606.11053, Jun.