Zobrazeno 1 - 10
of 32
pro vyhledávání: '"Rambaldi, Marcello"'
In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit order book. The models we propose thus integrate the influence of both
Externí odkaz:
http://arxiv.org/abs/1901.08938
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:
http://arxiv.org/abs/1807.07036
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. We demonstrate the capabilities of this method by app
Externí odkaz:
http://arxiv.org/abs/1706.03411
Publikováno v:
Phys. Rev. E 97, 032318 (2018)
Given a stationary point process, an intensity burst is defined as a short time period during which the number of counts is larger than the typical count rate. It might signal a local non-stationarity or the presence of an external perturbation to th
Externí odkaz:
http://arxiv.org/abs/1610.05383
We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy (2015) can be successfully used to study complex interactions between the time of arrival of orders and their size, observ
Externí odkaz:
http://arxiv.org/abs/1602.07663
We present a Hawkes model approach to 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 focusing on
Externí odkaz:
http://arxiv.org/abs/1405.6047
Autor:
Rambaldi, Marcello1 (AUTHOR) marcello.rambaldi@polytechnique.edu, Bacry, Emmanuel1,2 (AUTHOR), Muzy, Jean-François3 (AUTHOR)
Publikováno v:
Quantitative Finance. Oct2019, Vol. 19 Issue 10, p1613-1625. 13p. 3 Charts, 7 Graphs.
Autor:
Rambaldi, Marcello1 (AUTHOR) marcello.rambaldi@polytechnique.edu, Bacry, Emmanuel2 (AUTHOR), Lillo, Fabrizio1 (AUTHOR)
Publikováno v:
Quantitative Finance. Jul2017, Vol. 17 Issue 7, p999-1020. 22p. 13 Charts, 11 Graphs.
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