Similar Search Results

Clustering and Mean Reversion in a Hawkes Microstructure Model

Da Fonseca, José - 2015

This paper provides explicit formulas for the first and second moments and the autocorrelation function of the number of jumps over a given interval for the multivariate Hawkes process. These computations are possible thanks to the affine property of this process. We unify the stock price models...

Persistent link: https://www.econbiz.de/10013033764

Hawkes process : fast calibration, application to trade clustering, and diffuse limit

Fonseca, José da; Zaatour, Riadh - In: The journal of futures markets 34 (2014) 6, pp. 548-579

Persistent link: https://www.econbiz.de/10010371413

Clustering and mean reversion in a Hawkes microstructure model

Fonseca, José da; Zaatour, Riadh - In: The journal of futures markets 35 (2015) 9, pp. 813-838

Persistent link: https://www.econbiz.de/10011392661

Correlation and lead-lag relationships in a Hawkes microstructure model

Fonseca, José da; Zaatour, Riadh - In: The journal of futures markets 37 (2017) 3, pp. 260-285

Persistent link: https://www.econbiz.de/10011669809

What drives option prices?

Abergel, Frédéric; Zaatour, Ridah - In: The journal of trading 7 (2012) 3, pp. 12-28

Persistent link: https://www.econbiz.de/10009670685

High frequency lead/lag relationships : empirical facts

Huth, Nicolas; Abergel, Frédéric - In: Journal of empirical finance 26 (2014), pp. 41-58

Persistent link: https://www.econbiz.de/10010472008