Collective synchronization and high frequency systemic instabilities in financial markets (Q4554420): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2121710150
@@ Property / OpenAlex ID: W2121710150 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.00704
@@ Property / arXiv ID: 1505.00704 / rank @@
+Normal rank
@@ Property / cites work @@
+No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
+Normal rank
@@ Property / cites work @@
+Modelling microstructure noise with mutually exciting point processes
+Normal rank
@@ Property / cites work @@
+Modelling Financial High Frequency Data Using Point Processes
+Normal rank
@@ Property / cites work @@
+Risk, jumps, and diversification
@@ Property / cites work: Risk, jumps, and diversification / rank @@
+Normal rank
@@ Property / cites work @@
+Jump tails, extreme dependencies, and the distribution of stock returns
+Normal rank
@@ Property / cites work @@
+Modelling systemic price cojumps with Hawkes factor models
+Normal rank
@@ Property / cites work @@
+Modelling security market events in continuous time: intensity based, multivariate point process models
+Normal rank
@@ Property / cites work @@
+Threshold bipower variation and the impact of jumps on volatility forecasting
+Normal rank
@@ Property / cites work @@
+An Introduction to the Theory of Point Processes
@@ Property / cites work: An Introduction to the Theory of Point Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Spectra of some self-exciting and mutually exciting point processes
+Normal rank
@@ Property / cites work @@
+The role of volume in order book dynamics: a multivariate Hawkes process analysis
+Normal rank
@@ Property / cites work @@
+Q5598980
@@ Property / cites work: Q5598980 / rank @@
+Normal rank