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Report NEP-MST-2026-10-05
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:
- Jan Rosenzweig, 2026, "Agentic Limit Order Books: Phase Transitions and Market Impact," Papers, arXiv.org, number 2609.31260, Sep.
- Georgios Chionas & Charalampos Kleitsikas & Stefanos Leonardos & Leandro S'anchez-Betancourt & Carmine Ventre, 2026, "SAiFE-gym: Model-based Environments for Automated Market Making with Concentrated Liquidity," Papers, arXiv.org, number 2609.17788, Sep.
- Victoria Ruojie Li & Arka Prava Bandyopadhyay, 2026, "Shared Models, Selective Trading, and Order Flow," Papers, arXiv.org, number 2610.01897, Oct.
- Henry Dyer & Michael J. Fleming & Or Shachar, 2026, "Treasury Trading at the Close," Liberty Street Economics, Federal Reserve Bank of New York, number 20260922, Sep, DOI: 10.59576/lse.20260922.
- Samuel N. Cohen & Lyndon Drake & Zihan Guo & Christoph Reisinger, 2026, "Liquidity Provision and Rebate Design in Option Markets," Papers, arXiv.org, number 2609.26606, Sep.
- Runyao Yu & Jochen L. Cremer & Pierre Pinson & Jalal Kazempour & Leo Semmelmann & Takuji Matsumoto & Derek W. Bunn, 2026, "From Intraday Orderbook to Imbalance Price: Understanding Cross-Market Interaction," Papers, arXiv.org, number 2609.37903, Sep.