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/
Option market making with hedging-induced market impact: Paulin Aubert; Etienne Chevalier; Vathana Ly Vath
NEP/RePEc link
to paper
d.repec.org
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
NEP/RePEc link
to paper
d.repec.org
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
NEP/RePEc link
to paper
d.repec.org
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
NEP/RePEc link
to paper
d.repec.org
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
to paper
d.repec.org
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
NEP/RePEc link
to paper
d.repec.org
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
NEP/RePEc link
to paper
d.repec.org
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
NEP/RePEc link
to paper
d.repec.org
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
NEP/RePEc link
to paper
d.repec.org
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
to paper
d.repec.org
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
to paper
d.repec.org
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
to paper
d.repec.org
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
NEP/RePEc link
to paper
d.repec.org
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
to paper
d.repec.org
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
NEP/RePEc link
to paper
d.repec.org
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
NEP/RePEc link
to paper
d.repec.org
October 20, 2025 at 8:45 AM
Equity Market Price Changes Are Predictable: A Natural Science Approach
Analysis of the Impact of an Execution Algorithm with an Order Book Imbalance Strategy on a Financial Market Using an Agent-based Simulation: Shuto Endo; Takanobu Mizuta; Isao Yagi
NEP/RePEc link
to paper
d.repec.org
October 20, 2025 at 7:45 AM
Analysis of the Impact of an Execution Algorithm with an Order Book Imbalance Strategy on a Financial Market Using an Agent-based Simulation: Shuto Endo; Takanobu Mizuta; Isao Yagi
How Does the Level of Market Liquidity Impact the Prevalence of Herding in European Equity Markets?
NEP/RePEc link
to paper
d.repec.org
October 20, 2025 at 6:45 AM
How Does the Level of Market Liquidity Impact the Prevalence of Herding in European Equity Markets?
A Deterministic Limit Order Book Simulator with Hawkes-Driven Order Flow
NEP/RePEc link
to paper
d.repec.org
October 20, 2025 at 5:45 AM
A Deterministic Limit Order Book Simulator with Hawkes-Driven Order Flow
A Realtime Analysis of Fundamentals and Bubbles in the S&P 500
NEP/RePEc link
to paper
d.repec.org
October 13, 2025 at 2:45 PM
A Realtime Analysis of Fundamentals and Bubbles in the S&P 500
Riding Wavelets: A Method to Discover New Classes of Financial Price Jumps: Cecilia Aubrun; Rudy Morel; Michael Benzaquen; Jean-Philippe Bouchaud
NEP/RePEc link
to paper
d.repec.org
October 13, 2025 at 1:45 PM
Riding Wavelets: A Method to Discover New Classes of Financial Price Jumps: Cecilia Aubrun; Rudy Morel; Michael Benzaquen; Jean-Philippe Bouchaud
Animal spirits on steroids: Evidence from retail options trading in India: Agarwal, Vikas; Ghosh, Pulak; Prabhala, Nagpurnanand R.; Zhao, Haibei
NEP/RePEc link
to paper
d.repec.org
October 13, 2025 at 12:45 PM
Animal spirits on steroids: Evidence from retail options trading in India: Agarwal, Vikas; Ghosh, Pulak; Prabhala, Nagpurnanand R.; Zhao, Haibei
When is Liquidity Bad?
NEP/RePEc link
to paper
d.repec.org
October 13, 2025 at 11:45 AM
When is Liquidity Bad?
A survey of statistical arbitrage pair trading with machine learning, deep learning, and reinforcement learning methods
NEP/RePEc link
to paper
d.repec.org
September 29, 2025 at 9:45 AM
A survey of statistical arbitrage pair trading with machine learning, deep learning, and reinforcement learning methods
Bootstrapping Liquidity in BTC-Denominated Prediction Markets
NEP/RePEc link
to paper
d.repec.org
September 29, 2025 at 8:45 AM
Bootstrapping Liquidity in BTC-Denominated Prediction Markets