Report NEP-MST-2025-03-17

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:

• Leonardo Berti & Gjergji Kasneci, 2025. "TLOB: A Novel Transformer Model with Dual Attention for Stock Price Trend Prediction with Limit Order Book Data," Papers 2502.15757, arXiv.org, revised Feb 2025.
• S. R. Luwang & A. Rai & Md. Nurujjaman & F. Petroni, 2025. "Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach," Papers 2502.07625, arXiv.org.
• Mohammed Salek & Damien Challet & Ioane Muni Toke, 2024. "Price impact in equity auctions: zero, then linear," Post-Print hal-03938660, HAL.
• Peer Nagy & Sascha Frey & Kang Li & Bidipta Sarkar & Svitlana Vyetrenko & Stefan Zohren & Ani Calinescu & Jakob Foerster, 2025. "LOB-Bench: Benchmarking Generative AI for Finance -- an Application to Limit Order Book Data," Papers 2502.09172, arXiv.org.