Report NEP-MST-2025-02-03

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.

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Other reports in NEP-MST

The following items were announced in this report:

• Briola, Antonio & Bartolucci, Silvia & Aste, Tomaso, 2025. "HLOB–Information persistence and structure in limit order books," LSE Research Online Documents on Economics 126623, London School of Economics and Political Science, LSE Library.
• Ramshreyas Rao, 2025. "Agent-Based Simulation of a Perpetual Futures Market," Papers 2501.09404, arXiv.org.
• Hamza Bodor & Laurent Carlier, 2025. "Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation," Papers 2501.08822, arXiv.org.
• Zetao Zheng & Guoan Li & Deqiang Ouyang & Decui Liang & Jie Shao, 2024. "Limit Order Book Event Stream Prediction with Diffusion Model," Papers 2412.09631, arXiv.org.
• Adamantios Ntakaris & Gbenga Ibikunle, 2024. "Online High-Frequency Trading Stock Forecasting with Automated Feature Clustering and Radial Basis Function Neural Networks," Papers 2412.16160, arXiv.org, revised Dec 2024.
• Steven Campbell & Marcel Nutz, 2025. "Optimal Execution among $N$ Traders with Transient Price Impact," Papers 2501.09638, arXiv.org.