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Extension and calibration of a Hawkes-based optimal execution model

Alfonsi, Aurélien; Blanc, Pierre - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-55

Persistent link: https://www.econbiz.de/10011588251

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Dynamic optimal execution in a mixed-market-impact Hawkes price model

Alfonsi, Aurélien; Blanc, Pierre - In: Finance and stochastics 20 (2016) 1, pp. 183-218

Persistent link: https://www.econbiz.de/10011460309

High-dimensional Hawkes processes for limit order books : modelling, empirical analysis and numerical calibration

Lu, Xiaofei; Abergel, Frédéric - In: Quantitative finance 18 (2018) 2, pp. 249-264

Persistent link: https://www.econbiz.de/10011905913

Analyzing order flows in limit order books with ratios of Cox-type intensities

Toke, Ioane Muni; Yoshida, Nakahiro - In: Quantitative finance 20 (2020) 1, pp. 81-98

Persistent link: https://www.econbiz.de/10012194856

Deep order flow imbalance : extracting alpha at multiple horizons from the limit order book

Kolm, Petter N.; Turiel, Jeremy; Westray, Nicholas - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1044-1081

Persistent link: https://www.econbiz.de/10014370626

Market price of trading liquidity risk and market depth

Kijima, Masaaki; Ting, Christopher - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-36

Persistent link: https://www.econbiz.de/10012183242

Dynamic predictor selection and order splitting in a limit order market

Yamamoto, Ryuichi - In: Macroeconomic dynamics 23 (2019) 5, pp. 1757-1792

Persistent link: https://www.econbiz.de/10012127237

Rule-based trading on an order-driven exchange : a reassessment

Isaac, Alan Glen; Ramaswamy, Vasudeva - In: Quantitative finance 23 (2023) 12, pp. 1871-1886

Persistent link: https://www.econbiz.de/10014452482

Liquidity fluctuations and the latent dynamics of price impact

Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; … - In: Quantitative finance 22 (2022) 1, pp. 149-169

Persistent link: https://www.econbiz.de/10012872529

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