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Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 22 (2022) 2, pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
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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
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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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A slightly depressing jump model : intraday volatility pattern simulation
Khashanah, Khaldoun; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 213-224
Persistent link: https://www.econbiz.de/10011905864
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Performance of information criteria for selection of Hawkes process models of financial data
Chen, Jing; Hawkes, A. G.; Scalas, E.; Trinh, M. - In: Quantitative finance 18 (2018) 2, pp. 225-235
Persistent link: https://www.econbiz.de/10011905908
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Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
Yang, Steve Y.; Liu, Anqi; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 295-310
Persistent link: https://www.econbiz.de/10011906342
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The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 19 (2019) 7, pp. 1165-1178
Persistent link: https://www.econbiz.de/10012194752
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Disentangling and quantifying market participant volatility contributions
Rambaldi, Marcello; Bacry, Emmanuel; Muzy, Jean-François - In: Quantitative finance 19 (2019) 10, pp. 1613-1625
Persistent link: https://www.econbiz.de/10012194810
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A data-driven deep learning approach for options market making
Lai, Qianhui; Gao, Xuefeng; Li, Lingfei - In: Quantitative finance 23 (2023) 5, pp. 777-797
Persistent link: https://www.econbiz.de/10014304348
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Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity-concavity indicators
Zhang, Qun; Sornette, Didier; Han, Liyan - In: Quantitative finance 22 (2022) 2, pp. 367-384
Persistent link: https://www.econbiz.de/10013167760