Report NEP-MST-2025-03-24

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:

• Luca Lalor & Anatoliy Swishchuk, 2025. "Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making," Papers 2502.17417, arXiv.org.
• Leonardo Berti & Bardh Prenkaj & Paola Velardi, 2025. "TRADES: Generating Realistic Market Simulations with Diffusion Models," Papers 2502.07071, arXiv.org, revised Feb 2025.
• Munipalle, Pravith, 2024. "Algorithmic Bot Trading vs. Human Trading: Assessing Retail Trading Implications in Financial Markets," OSF Preprints p98zv_v1, Center for Open Science.
• CY Yan & Steve Keol & Xo Co & Nate Leung, 2025. "Better market Maker Algorithm to Save Impermanent Loss with High Liquidity Retention," Papers 2502.20001, arXiv.org.
• Jakob Albers & Mihai Cucuringu & Sam Howison & Alexander Y. Shestopaloff, 2025. "To Make, or to Take, That Is the Question: Impact of LOB Mechanics on Natural Trading Strategies," Papers 2502.18625, arXiv.org.