Narrow search
Showing 1 - 8 of 8
Cover Image
State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime; Pakkanen, Mikko S. - In: Quantitative finance 22 (2022) 3, pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
Cover Image
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Cover Image
Analysis and modeling of client order flow in limit order markets
Cont, Rama; Cucuringu, Mihai; Glukhov, Vacslav; … - In: Quantitative finance 23 (2023) 2, pp. 187-205
Persistent link: https://www.econbiz.de/10014232614
Cover Image
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol; Dakos, Michael - In: Quantitative finance 23 (2023) 3, pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Cover Image
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Cover Image
Deep-learning models for forecasting financial risk premia and their interpretations
Lo, Andrew W.; Singh, Manish - In: Quantitative finance 23 (2023) 6, pp. 917-929
Persistent link: https://www.econbiz.de/10014304395
Cover Image
A generative model of a limit order book using recurrent neural networks
Hultin, Hanna; Hult, Henrik; Proutiere, Alexandre; … - In: Quantitative finance 23 (2023) 6, pp. 931-958
Persistent link: https://www.econbiz.de/10014304400
Cover Image
Cross-section without factors : a string model for expected returns
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - In: Quantitative finance 24 (2024) 6, pp. 693-718
Persistent link: https://www.econbiz.de/10015050788