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isPartOf:"MPRA Paper"
~isPartOf:"Quantitative finance"
~person:"Sornette, Didier"
~subject:"Volatility"
~subject:"exchange rate"
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Sornette, Didier
Caiado, Jorge
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Masih, Mansur
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Onour, Ibrahim
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Quantitative finance
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Quantitative Finance and Economics, 2 (1), 486-594 (2018)
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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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2
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
Saved in:
3
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
Saved in:
4
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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