Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F. - In: Quantitative Finance 13 (2013) 1, pp. 65-77
We introduce a new stochastic model for the variations of asset prices at the tick-by-tick level in dimension 1 (for a single asset) and 2 (for a pair of assets). The construction is based on marked point processes and relies on mutually exciting stochastic intensities as introduced by Hawkes....