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The Zumbach effect under rough Heston
El Euch, Omar; Gatheral, Jim; Radoičić, Radoš; … - In: Quantitative finance 20 (2020) 2, pp. 235-241
Persistent link: https://www.econbiz.de/10012194863
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Volatility is rough
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Quantitative finance 18 (2018) 6, pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
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From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
Dandapani, Aditi; Jusselin, Paul; Rosenbaum, Mathieu - In: Quantitative finance 21 (2021) 8, pp. 1235-1247
Persistent link: https://www.econbiz.de/10012608638
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The information content of high-frequency traders aggressive orders : recent evidence
Saliba, Pamela - In: Quantitative finance 20 (2020) 11, pp. 1779-1794
Persistent link: https://www.econbiz.de/10012295637
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Learning a functional control for high-frequency finance
Leal, Laura; Lauriere, Mathieu; Lehalle, Charles-Albert - In: Quantitative finance 22 (2022) 11, pp. 1973-1987
Persistent link: https://www.econbiz.de/10013490928
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Co-impact : crowding effects in institutional trading activity
Bucci, Frederic; Mastromatteo, Iacopo; Eisler, Zoltan; … - In: Quantitative finance 20 (2020) 2, pp. 193-205
Persistent link: https://www.econbiz.de/10012194861
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Transaction cost analytics for corporate bonds
Guo, Xin; Lehalle, Charles-Albert; Xu, Renyuan - In: Quantitative finance 22 (2022) 7, pp. 1295-1319
Persistent link: https://www.econbiz.de/10013367900