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.

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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 1901.08938, arXiv.org.
• Merrick Li, Z. & Linton, O., 2019. "A ReMeDI for Microstructure Noise," Cambridge Working Papers in Economics 1908, Faculty of Economics, University of Cambridge.
• Entrop, Oliver & Fischer, Georg, 2019. "Hedging costs and joint determinants of premiums and spreads in structured financial products," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-34-19, University of Passau, Faculty of Business and Economics.
• Linton, O. & Wu, J., 2018. "A Coupled Component GARCH Model for Intraday and Overnight Volatility," Cambridge Working Papers in Economics 1879, Faculty of Economics, University of Cambridge.