Disentangling and quantifying market participant volatility contributions

Autor: Emmanuel Bacry, Marcello Rambaldi, Jean-François Muzy

Publikováno v: Quantitative Finance
Quantitative Finance, Taylor & Francis (Routledge), 2019, 19 (10), pp.1613-1625. ⟨10.1080/14697688.2019.1591631⟩

Thanks to the access to labeled orders on the Cac40 index future provided by Euronext, we are able to quantify market participants contributions to the volatility in the diffusive limit. To achieve this result we leverage the branching properties of

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e97cd8abfa015d9c86280d74eac58ab2
https://hal.archives-ouvertes.fr/hal-02392863

Analysis of order book flows using a non-parametric estimation of the branching ratio matrix

Autor: Emmanuel Bacry, Massil Achab, Jean-François Muzy, Marcello Rambaldi

Publikováno v: Quantitative Finance
Quantitative Finance, Taylor & Francis (Routledge), 2017, 18 (2), pp.199-212. ⟨10.1080/14697688.2017.1403132⟩

We introduce a new non-parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. ...

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5fbddb5e65cbcf43de8e8c2f72a5f08b
https://hal.archives-ouvertes.fr/hal-02399477

Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach

Autor: Marcello Rambaldi, Fabrizio Lillo, Paris Pennesi

We present a Hawkes-model approach to the foreign exchange market in which the high-frequency price dynamics is affected by a self-exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news. By focusin

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9b5331317ac12deed0c044d067cc1f75
http://hdl.handle.net/11585/597103