Modelling microstructure noise with mutually exciting point processes

DOI10.1080/14697688.2011.647054zbMath1280.91073arXiv1101.3422MaRDI 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 walks; depth; stochastic models; volatility; market microstructure; continuous-time models; empirical time series analysis; advanced econometrics

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

60G50: Sums of independent random variables; random walks

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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