Modelling microstructure noise with mutually exciting point processes

DOI10.1080/14697688.2011.647054zbMath1280.91073arXiv1101.3422OpenAlexW2166822347MaRDI QIDQ5746743

Sylvain Delattre, Marc Hoffmann, Emmanuel Bacry, Jean-François Muzy

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.3422

zbMATH Keywords

random walksdepthstochastic modelsvolatilitymarket microstructurecontinuous-time modelsempirical time series analysisadvanced econometrics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Sums of independent random variables; random walks (60G50) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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