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Report NEP-MST-2026-08-31
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:
- Glebkin, Sergei & Kuong, John Chi-Fong, 2024, "When Large Traders Create Noise," CEPR Discussion Papers, Centre for Economic Policy Research, number 19331, Aug.
- Gbenga Ibikunle & Ben Moews & Dmitriy Muravyev & Khaladdin Rzayev, 2026, "Data-Driven Measures of High-Frequency Trading," Papers, arXiv.org, number 2608.00858, Aug, revised Sep 2026.
- Peter Cotton, 2026, "On a Simple Relationship Between Order Imbalance, Skew and Width in Over-The-Counter Trading," Papers, arXiv.org, number 2608.07690, Aug.
- Chengqi Zang & Gabriel Andrade & Tomoyuki Nakajima, 2026, "Who Aggregates Information? Screening, Rent, and the Coexistence of CLOB and AMM Prediction Markets," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-1277, Aug.
- Massa, Massimo & Zhang, Hong & Zhou, Yijun, 2024, "Data Specialists and Market Efficiency," CEPR Discussion Papers, Centre for Economic Policy Research, number 19390, Aug.
- Zhuohan Wang & Carmine Ventre, 2026, "Diffusion Models in Finance: A Survey," Papers, arXiv.org, number 2608.12583, Aug.
- Michael J. Fleming & Or Shachar, 2026, "Stripping STRIPs Trading Activity," Liberty Street Economics, Federal Reserve Bank of New York, number 20260810, Aug, DOI: 10.59576/lse.20260810.
- Lee, Woongki, 2026, "Price Dynamics and Investor Mobility," SocArXiv, Center for Open Science, number vpxqk_v1, Aug, DOI: 10.31235/osf.io/vpxqk_v1.
- Peter Korsbakke Christensen & Anders Norlyk, 2026, "Microstructural Foundations of Rough Noise," Papers, arXiv.org, number 2607.29442, Jul, revised Aug 2026.
- Zhuohan Wang & Andreea Bacalum & Ollie Olby & Carmine Ventre & Namid Stillman, 2026, "FlowLOB: Efficient and Controllable Limit Order Book Generation with Flow Matching," Papers, arXiv.org, number 2608.13096, Aug.