Pages that link to "Item:Q5746743"
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The following pages link to Modelling microstructure noise with mutually exciting point processes (Q5746743):
Displayed 50 items.
- Hawkes processes on large networks (Q259574) (← links)
- Dynamic optimal execution in a mixed-market-impact Hawkes price model (Q261925) (← links)
- Locally stationary Hawkes processes (Q271846) (← links)
- Statistical inference versus mean field limit for Hawkes processes (Q286219) (← links)
- Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis (Q300838) (← links)
- Clustered Lévy processes and their financial applications (Q515759) (← links)
- Conditional correlation in asset return and GARCH intensity model (Q1621670) (← links)
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591) (← links)
- The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
- Time-frequency analysis of locally stationary Hawkes processes (Q1740528) (← links)
- Statistical inference for the doubly stochastic self-exciting process (Q1750090) (← links)
- Regenerative properties of the linear Hawkes process with unbounded memory (Q2075331) (← links)
- Cluster point processes and Poisson thinning INARMA (Q2121089) (← links)
- Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility (Q2145810) (← links)
- A continuous and efficient fundamental price on the discrete order book grid (Q2149276) (← links)
- Marked point processes and intensity ratios for limit order book modeling (Q2166017) (← links)
- Asian options pricing in Hawkes-type jump-diffusion models (Q2174173) (← links)
- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process (Q2188020) (← links)
- Precise deviations for Hawkes processes (Q2214245) (← links)
- Nonparametric Bayesian estimation for multivariate Hawkes processes (Q2215756) (← links)
- From tick data to semimartingales (Q2240473) (← links)
- Optimal liquidation problem in illiquid markets (Q2242363) (← links)
- A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (Q2246615) (← links)
- Limit properties of continuous self-exciting processes (Q2273724) (← links)
- Confidence interval for correlation estimator between latent processes (Q2303484) (← links)
- A switching microstructure model for stock prices (Q2312402) (← links)
- A recursive point process model for infectious diseases (Q2330536) (← links)
- Limit theorems for nearly unstable Hawkes processes (Q2341626) (← links)
- Reactive point processes: a new approach to predicting power failures in underground electrical systems (Q2349559) (← links)
- Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE (Q2350371) (← links)
- Statistical inference for ergodic point processes and application to limit order book (Q2359704) (← links)
- Impact of volatility clustering on equity indexed annuities (Q2374129) (← links)
- Some limit theorems for Hawkes processes and application to financial statistics (Q2447641) (← links)
- Hawkes processes in insurance: risk model, application to empirical data and optimal investment (Q2665846) (← links)
- Construction and simulation of generalized multivariate Hawkes processes (Q2684947) (← links)
- Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion (Q2813080) (← links)
- Integer-valued Lévy processes and low latency financial econometrics (Q2873033) (← links)
- Bridge homogeneous volatility estimators (Q2879014) (← links)
- Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps (Q2923430) (← links)
- Fractional Skellam processes with applications to finance (Q2939445) (← links)
- High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model (Q2941476) (← links)
- Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions (Q2968465) (← links)
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK (Q2970318) (← links)
- Long-Time Behavior of a Hawkes Process--Based Limit Order Book (Q3456836) (← links)
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (Q4554209) (← links)
- A model for interest rates with clustering effects (Q4554210) (← links)
- Analysis of order book flows using a non-parametric estimation of the branching ratio matrix (Q4554417) (← links)
- Collective synchronization and high frequency systemic instabilities in financial markets (Q4554420) (← links)
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421) (← links)
- Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events (Q4554425) (← links)