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Report NEP-MST-2026-10-19
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:
- Julius F. Bonart, 2026, "Diffusive Market Impact: A Consistent Microfoundation," Papers, arXiv.org, number 2610.11691, Oct, revised Oct 2026.
- Anjali Thawait, 2026, "Latent Continuum of Regimes in Limit Order Book Dynamics," Papers, arXiv.org, number 2610.05740, Oct, revised Oct 2026.
- Amandeep Singh, 2026, "The Agentic ETF: How Agentic Trading Becomes an Asset Class," Papers, arXiv.org, number 2610.06856, Jun.
- Philipp D. Dubach, 2026, "Measuring Trade Direction in a Prediction Market: Settlement Ground Truth and Trading-Cost Measurement on Polymarket," Papers, arXiv.org, number 2610.06412, Oct.
- Eric Zitzewitz, 2026, "Limits to Arbitrage and Prediction Market Efficiency: the Case of PredictIt," NBER Working Papers, National Bureau of Economic Research, Inc, number 35845, Oct.
- Yizhen Xie & Mengyang Liu, 2026, "SOTA: Stock Options Trading Agents Guided by Option-Implied Return Distributions," Papers, arXiv.org, number 2610.10407, Oct.