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Multivariate quadratic Hawkes...
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Unravelling the trading invariance hypothesis
Benzaquen, Michael
;
Donier, Jonathan
;
Bouchaud, …
- In:
Market microstructure and liquidity
2
(
2016
)
3/4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011715767
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2
Impact is not just volatility
Bucci, Frédéric
;
Mastromatteo, Iacopo
;
Benzaquen, Michael
- In:
Quantitative finance
19
(
2019
)
11
,
pp. 1763-1766
Persistent link: https://www.econbiz.de/10012194824
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3
Slow decay of impact in equity markets : insights from the ANcerno database
Bucci, Frédéric
;
Benzaquen, Michael
;
Lillo, Fabrizio
; …
- In:
Market microstructure and liquidity
4
(
2018
)
3/4
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012227833
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4
Non-parametric estimation of quadratic Hawkes processes for order book events
Fosset, Antoine
;
Bouchaud, Jean-Philippe
;
Benzaquen, Michael
- In:
The European journal of finance
28
(
2022
)
7
,
pp. 663-678
Persistent link: https://www.econbiz.de/10013373307
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5
Out-of-equilibrium dynamics and excess volatility in firm networks
Dessertaine, Théo
;
Moran, José
;
Benzaquen, Michael
; …
- In:
Journal of economic dynamics & control
138
(
2022
),
pp. 1-47
Persistent link: https://www.econbiz.de/10013464732
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6
Conditional Correlations and Principal Regression Analysis for Futures
Karami, Armine
;
Benichou, Raphael
;
Benzaquen, Michael
; …
- In:
Wilmott
2021
(
2021
)
111
,
pp. 63-73
Persistent link: https://www.econbiz.de/10012808838
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7
Do fundamentals shape the price response? : a critical assessment of linear impact models
Vodret, Michele
;
Mastromatteo, Iacopo
;
Tóth, Bence
; …
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2139-2150
Persistent link: https://www.econbiz.de/10013490934
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8
How to build a cross-impact model from first principles : theoretical requirements and empirical results
Tomas, Mehdi
;
Mastromatteo, Iacopo
;
Benzaquen, Michael
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1017-1036
Persistent link: https://www.econbiz.de/10013367882
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9
Capital demand driven business cycles : mechanism and effects
Naumann-Woleske, Karl
;
Benzaquen, Michael
;
Gusev, Maxim
; …
- In:
Review of behavioral economics
9
(
2022
)
4
,
pp. 333-377
Persistent link: https://www.econbiz.de/10013475258
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10
When is cross impact relevant?
Le Coz, Victor
;
Mastromatteo, Iacopo
;
Challet, Damien
; …
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 265-279
Persistent link: https://www.econbiz.de/10014551975
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