Report NEP-MST-2015-01-19This 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:
- Emmanuel Bacry & Thibault Jaisson & Jean-Francois Muzy, 2014. "Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling," Papers 1412.7096, arXiv.org.
- Mitsuaki Murota & Jun-ichi Inoue, 2014. "Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange," Papers 1412.7269, arXiv.org, revised Mar 2015.