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Report NEP-MST-2026-09-21
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:
- Chengqi Zang & Gabriel P. Andrade & Tomoyuki Nakajima, 2026, "Who Aggregates Information? Screening, Rent, and the Coexistence of CLOB and AMM Prediction Markets," Papers, arXiv.org, number 2609.20017, Sep.
- Felipe Moret & Fabrizio Lillo, 2026, "Deep Learning of Robust Market Making under Regime-Switching Order Flow," Papers, arXiv.org, number 2609.11614, Sep.
- Ramzi Jebali, 2026, "Regimes in the Order Flow," Papers, arXiv.org, number 2609.07989, Sep.
- Manuel Naviglio & Fabrizio Lillo, 2026, "Explainable Deep Learning for Price-Trade Dynamics: From Black-Box Forecasts to Effective Parametric Models," Papers, arXiv.org, number 2609.06085, Sep.
- Minhyeok Lee, 2026, "Price manipulation in nonlinear transient impact models: rigidity before memory and complete positivity after memory," Papers, arXiv.org, number 2609.02447, Sep.