A switching microstructure model for stock prices
From MaRDI portal
Publication:2312402
DOI10.1007/s11579-018-00234-6zbMath1417.91565OpenAlexW2865882889WikidataQ128614842 ScholiaQ128614842MaRDI QIDQ2312402
Stéphane Goutte, Donatien Hainaut
Publication date: 8 July 2019
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A199018/datastream/PDF_01/view
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial science and mathematical finance (91G99)
Related Items
Numerical method for means of linear Hawkes processes ⋮ Fractional Hawkes processes ⋮ Time-consistent evaluation of credit risk with contagion
Cites Work
- Unnamed Item
- Unnamed Item
- Markov-modulated Hawkes process with stepwise decay
- Strategic asset allocation with switching dependence
- Clustered Lévy processes and their financial applications
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
- Modelling irregulary spaced financial data. Theory and practice of dynamic duration models.
- Partial information about contagion risk, self-exciting processes and portfolio optimization
- Limit theorems for nearly unstable Hawkes processes
- Some limit theorems for Hawkes processes and application to financial statistics
- THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE
- First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
- Affine Point Processes and Portfolio Credit Risk
- Continuous Auctions and Insider Trading
- A cluster process representation of a self-exciting process
- A model for interest rates with clustering effects
- A Law of Large Numbers for Limit Order Books
- Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
- Modelling systemic price cojumps with Hawkes factor models
- A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies
- Hawkes model for price and trades high-frequency dynamics
- Spectra of some self-exciting and mutually exciting point processes
- Modelling microstructure noise with mutually exciting point processes
