NEP-MST: Market Microstructure
@repec-nep-mst.bsky.social
The latest working papers from RePEc. NEP report MST (Market Microstructure)
https://nep.repec.org/
https://nep.repec.org/
Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy: Hongyang Yang; Xiao-Yang Liu; Shan Zhong; Anwar Walid
NEP/RePEc link
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December 1, 2025 at 7:45 PM
Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy: Hongyang Yang; Xiao-Yang Liu; Shan Zhong; Anwar Walid
Volume-driven time-of-day effects in intraday volatility models: Ferreira Batista Martins, Igor; Virbickaitè, Audronè; Nguyen, Hoang; Freitas Lopes, Hedibert
NEP/RePEc link
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December 1, 2025 at 6:45 PM
Volume-driven time-of-day effects in intraday volatility models: Ferreira Batista Martins, Igor; Virbickaitè, Audronè; Nguyen, Hoang; Freitas Lopes, Hedibert
The disclosure of information about the range of asset value in market: Jianhao Su; Yanliang Zhang
NEP/RePEc link
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December 1, 2025 at 5:45 PM
The disclosure of information about the range of asset value in market: Jianhao Su; Yanliang Zhang
Supervising Sentiment Models: Market Signals or Human Expertise?: Babolmorad, N.; Massoud, N.
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December 1, 2025 at 4:45 PM
Supervising Sentiment Models: Market Signals or Human Expertise?: Babolmorad, N.; Massoud, N.
Examining Volatility Roughness in the Japanese Stock Market: Xuzhu ZHENG; Masato UBUKATA; Kosuke OYA
NEP/RePEc link
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December 1, 2025 at 3:45 PM
Examining Volatility Roughness in the Japanese Stock Market: Xuzhu ZHENG; Masato UBUKATA; Kosuke OYA
Reinforcement Learning in Queue-Reactive Models: Application to Optimal Execution: Tomas Espana; Yadh Hafsi; Fabrizio Lillo; Edoardo Vittori
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December 1, 2025 at 2:45 PM
Reinforcement Learning in Queue-Reactive Models: Application to Optimal Execution: Tomas Espana; Yadh Hafsi; Fabrizio Lillo; Edoardo Vittori
Automated Market Making for Goods with Perishable Utility: Chengqi Zang; Gabriel P. Andrade; O\u{g}uzhan Ersoy
NEP/RePEc link
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November 25, 2025 at 4:45 PM
Automated Market Making for Goods with Perishable Utility: Chengqi Zang; Gabriel P. Andrade; O\u{g}uzhan Ersoy
How Has Treasury Market Liquidity Fared in 2025?
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November 25, 2025 at 3:45 PM
How Has Treasury Market Liquidity Fared in 2025?
Liquidity and Trading Dynamics in the Off-the-Run U.S. Treasury Market: Alain P. Chaboud; Michael J. Fleming; Ellen Correia Golay; Yesol Huh; Frank M. Keane; Or Shachar
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November 25, 2025 at 2:45 PM
Liquidity and Trading Dynamics in the Off-the-Run U.S. Treasury Market: Alain P. Chaboud; Michael J. Fleming; Ellen Correia Golay; Yesol Huh; Frank M. Keane; Or Shachar
Option market making with hedging-induced market impact: Paulin Aubert; Etienne Chevalier; Vathana Ly Vath
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November 10, 2025 at 8:45 PM
Option market making with hedging-induced market impact: Paulin Aubert; Etienne Chevalier; Vathana Ly Vath
An Impulse Control Approach to Market Making in a Hawkes LOB Market: Konark Jain; Nick Firoozye; Jonathan Kochems; Philip Treleaven
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November 10, 2025 at 7:45 PM
An Impulse Control Approach to Market Making in a Hawkes LOB Market: Konark Jain; Nick Firoozye; Jonathan Kochems; Philip Treleaven
Deviations from Tradition: Stylized Facts in the Era of DeFi: Daniele Maria Di Nosse; Federico Gatta; Fabrizio Lillo; Sebastian Jaimungal
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November 10, 2025 at 6:45 PM
Deviations from Tradition: Stylized Facts in the Era of DeFi: Daniele Maria Di Nosse; Federico Gatta; Fabrizio Lillo; Sebastian Jaimungal
Price dislocations: insights from trade repository data: Menkveld, Albert J.; Saru, Ion Lucas; Yu, Shihao
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November 10, 2025 at 5:45 PM
Price dislocations: insights from trade repository data: Menkveld, Albert J.; Saru, Ion Lucas; Yu, Shihao
When AI Trading Agents Compete: Adverse Selection of Meta-Orders by Reinforcement Learning-Based Market Making: Ali Raza Jafree; Konark Jain; Nick Firoozye
NEP/RePEc link
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November 10, 2025 at 4:45 PM
When AI Trading Agents Compete: Adverse Selection of Meta-Orders by Reinforcement Learning-Based Market Making: Ali Raza Jafree; Konark Jain; Nick Firoozye
ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book: Patrick Cheridito; Jean-Loup Dupret; Zhexin Wu
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November 10, 2025 at 3:45 PM
ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book: Patrick Cheridito; Jean-Loup Dupret; Zhexin Wu
A high-frequency approach to Realized Risk Measures: Federico Gatta; Fabrizio Lillo; Piero Mazzarisi
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November 3, 2025 at 8:45 PM
A high-frequency approach to Realized Risk Measures: Federico Gatta; Fabrizio Lillo; Piero Mazzarisi
The Invisible Handshake: Tacit Collusion between Adaptive Market Agents: Luigi Foscari; Emanuele Guidotti; Nicol\`o Cesa-Bianchi; Tatjana Chavdarova; Alfio Ferrara
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November 3, 2025 at 7:45 PM
The Invisible Handshake: Tacit Collusion between Adaptive Market Agents: Luigi Foscari; Emanuele Guidotti; Nicol\`o Cesa-Bianchi; Tatjana Chavdarova; Alfio Ferrara
On Bellman equation in the limit order optimization problem for high-frequency trading: M. I. Balakaeva; A. Yu. Veretennikov
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November 3, 2025 at 6:45 PM
On Bellman equation in the limit order optimization problem for high-frequency trading: M. I. Balakaeva; A. Yu. Veretennikov
Social trading, correlated retail investing and non-fundamental speculation
NEP/RePEc link
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November 3, 2025 at 5:45 PM
Social trading, correlated retail investing and non-fundamental speculation
Order routing and market quality: who benefits from internalization?: Cetin, Umut; Danilova, Albina
NEP/RePEc link
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November 3, 2025 at 4:45 PM
Order routing and market quality: who benefits from internalization?: Cetin, Umut; Danilova, Albina
SoK: Market Microstructure for Decentralized Prediction Markets (DePMs): Nahid Rahman; Joseph Al-Chami; Jeremy Clark
NEP/RePEc link
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October 27, 2025 at 9:45 AM
SoK: Market Microstructure for Decentralized Prediction Markets (DePMs): Nahid Rahman; Joseph Al-Chami; Jeremy Clark
The Price of Liquidity: Implied Volatility of Automated Market Maker Fees: Maxim Bichuch; Zachary Feinstein
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October 27, 2025 at 8:45 AM
The Price of Liquidity: Implied Volatility of Automated Market Maker Fees: Maxim Bichuch; Zachary Feinstein
Back to the Futures: Liquidity in Australian Bond Futures amid Market-moving Events since COVID-19: Richard Finlay; Ben Jackman; Dmitry Titkov
NEP/RePEc link
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October 27, 2025 at 7:45 AM
Back to the Futures: Liquidity in Australian Bond Futures amid Market-moving Events since COVID-19: Richard Finlay; Ben Jackman; Dmitry Titkov
A Microstructure Analysis of Coupling in CFMMs: Althea Sterrett; Austin Adams
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October 20, 2025 at 9:45 AM
A Microstructure Analysis of Coupling in CFMMs: Althea Sterrett; Austin Adams
Equity Market Price Changes Are Predictable: A Natural Science Approach
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October 20, 2025 at 8:45 AM
Equity Market Price Changes Are Predictable: A Natural Science Approach