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Report NEP-MST-2019-02-04
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:
- Peng Wu & Marcello Rambaldi & Jean-Franc{c}ois Muzy & Emmanuel Bacry, 2019, "Queue-reactive Hawkes models for the order flow," Papers, arXiv.org, number 1901.08938, Jan.
- Merrick Li, Z. & Linton, O., 2019, "A ReMeDI for Microstructure Noise," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1908, Jan.
- Entrop, Oliver & Fischer, Georg, 2019, "Hedging costs and joint determinants of premiums and spreads in structured financial products," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe, University of Passau, Faculty of Business and Economics, number B-34-19.
- Linton, O. & Wu, J., 2018, "A Coupled Component GARCH Model for Intraday and Overnight Volatility," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1879, Sep.