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Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
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Improvements in estimating the probability of informed trading models
Cheng, Tsung-Chi; Lai, Hung-neng - In: Quantitative finance 21 (2021) 5, pp. 771-796
Persistent link: https://www.econbiz.de/10012500188
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Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
Achab, Massil; Bacry, E.; Muzy, J. F.; Rambaldi, M. - In: Quantitative finance 18 (2018) 2, pp. 199-212
Persistent link: https://www.econbiz.de/10011905857
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Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying; Xiang, Jing; Cang, Yuquan - In: Quantitative finance 20 (2020) 11, pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
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A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo; Izzeldin, Marwan; Nolte, Ingmar; … - In: Quantitative finance 22 (2022) 8, pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
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Do price trajectory data increase the efficiency of market impact estimation?
Li, Fengpei; Ihnatiuk, Vitalii; Chen, Yu; Lin, Jiahe; … - In: Quantitative finance 24 (2024) 5, pp. 545-568
Persistent link: https://www.econbiz.de/10014552104