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Report NEP-MST-2026-10-12
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:
- Irene Aldridge, 2026, "Evolution of Market Microstructure in the Age of AI," Papers, arXiv.org, number 2609.33058, Sep.
- Ayoub Jhabli & Tarek AlSkaif & Kwabena E. Bennin & Bedir Tekinerdogan & Axel Naumann & Joost M. E. Pennings, 2026, "Modelling Regime Shifts in Continuous Intraday Electricity Markets with State-dependent Hawkes Processes," Papers, arXiv.org, number 2610.08169, Oct.
- David Itkin & Leandro S'anchez-Betancourt, 2026, "When Hedging Changes the Payoff: Option Replication with Price Impact and Execution Costs," Papers, arXiv.org, number 2609.36257, Sep.
- Andrey Itkin, 2026, "A Generalized Langevin Model of Latent Liquidity and Concave Price Impact," Papers, arXiv.org, number 2609.37872, Sep.
- Hyoeun Lee & Kiseop Lee, 2026, "A Spread-Gated Hawkes-Flocking Model for Best Bid and Ask Dynamics, with an Application to Limit Order Placement," Papers, arXiv.org, number 2609.36631, Sep.
- David Schaurecker & Lasse B. Strand & Kevin O'Sullivan & Robert Jakob, 2026, "Event History Over Scale: Compact Transformers for Low-Latency Limit Order Book Forecasting," Papers, arXiv.org, number 2610.02917, Oct.
- International Monetary Fund, 2025, "2025 Handbook of IMF Facilities for Low-Income Countries," IMF Policy Papers, International Monetary Fund, number 2025/010, Apr.