Report NEP-MST-2013-01-19This 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:
- E. Bacry & J. F Muzy, 2013. "Hawkes model for price and trades high-frequency dynamics," Papers 1301.1135, arXiv.org.
- Laurence Lescourret, 2012. "Non-fundamental Information and Market-makers' Behavior during the NASDAQ Preopening Session," Post-Print hal-00772798, HAL.