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Report NEP-MST-2026-09-14
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:
- Daojing Zhai, 2026, "Public Trader Identity: Adverse Selection and Return Predictability," Papers, arXiv.org, number 2608.04373, Aug, revised Aug 2026.
- Vincent Yinjun-Wang & Madeleine Udell, 2026, "Convex Modeling of Price Cross-Impact over Time," Papers, arXiv.org, number 2609.04712, Sep.
- Dobrislav Dobrev & Ernst Schaumburg, 2026, "High-Frequency Cross-Market Trading: Model-Free Measurement and Testable Implications," Working Papers, The George Washington University, The Center for Economic Research, number 2026-011, Sep.
- Muqiao Huang & Ruodu Wang & Yiyun Wang, 2026, "Equilibrium in closed constant-function market maker economies," Papers, arXiv.org, number 2608.23915, Aug, revised Oct 2026.
- Demetrio Lacava & Paolo Santucci de Magistris, 2026, "Illiquidity at Risk," Papers, arXiv.org, number 2609.00943, Sep.