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The microstructural foundations of leverage effect and rough volatility
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu - In: Finance and stochastics 22 (2018) 2, pp. 241-280
Persistent link: https://www.econbiz.de/10011945670
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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
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Optimal workflow decisions for investigators in systems with interruptions
Dobson, Gregory; Tezcan, Tolga; Tilson, Vera - In: Management science : journal of the Institute for … 59 (2013) 5, pp. 1125-1141
Persistent link: https://www.econbiz.de/10009751183
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Limit theorems for Markovian bandwidth-sharing networks with rate constraints
Reed, Josh; Zwart, Bert - In: Operations research 62 (2014) 6, pp. 1453-1466
Persistent link: https://www.econbiz.de/10010471835
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Stochastic approximation algorithms for superquantiles estimation
Bercu, Bernard; Costa, Manon; Gadat, Sébastien - 2020
Persistent link: https://www.econbiz.de/10012286349
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How much data do you need? : an operational, pre-asymptotic metric for fat-tailedness
Taleb, Nassim Nicholas - In: International journal of forecasting 35 (2019) 2, pp. 677-686
Persistent link: https://www.econbiz.de/10012300715
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Limit of random measures associated with the increments of a brownian semimartingale
Jacod, Jean - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 526-569
Persistent link: https://www.econbiz.de/10011987890
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The long-term behavior of number of near-maximum insurance claims
Dembińska, Anna; Buraczyńska, Aneta - In: Insurance / Mathematics & economics 88 (2019), pp. 226-237
Persistent link: https://www.econbiz.de/10012105570
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The scaling limit of superreplication prices with small transaction costs in the multivariate case
Bank, Peter; Dolinsky, Yan; Perkkiö, Ari-Pekka - In: Finance and stochastics 21 (2017) 2, pp. 487-508
Persistent link: https://www.econbiz.de/10011944401
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A simple model for market booms and crashes
Çetin, Umut; Sheynzon, Ilya - In: Mathematics and financial economics 8 (2014) 3, pp. 291-319
Persistent link: https://www.econbiz.de/10010365554