Report NEP-MST-2012-02-08This 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.
The following items were announced in this report:
- Jozef Barunik & Ladislav Kristoufek, 2012. "On Hurst exponent estimation under heavy-tailed distributions," Papers, arXiv.org 1201.4786, arXiv.org.
- N. Vvedenskaya & Y. Suhov & V. Belitsky, 2012. "A non-linear model of trading mechanism on a financial market," Papers, arXiv.org 1201.4580, arXiv.org.