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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 Diffusive Limit

Da Fonseca, José - 2013

This paper provides explicit formulas for the moments and the autocorrelation function of the number of jumps over a given interval for the Hawkes process. These computations are possible thanks to the affine property of this process. Using these quantities an implementation of the method of...

Persistent link: https://www.econbiz.de/10013079050

A mathematical approach to order book modelling

Abergel, Frédéric; Jedidi, Aymen - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 93-107). 2011

Persistent link: https://www.econbiz.de/10009348941

High frequency correlation modelling

Huth, Nicolas; Abergel, Frédéric - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 189-202). 2011

Persistent link: https://www.econbiz.de/10009349702

Multi-agent order book simulation : mono- and multi-asset high-frequency market making strategies

Foata, Laurent; Vidhamali, Michael; Abergel, Frédéric - In: Econophysics of Order-driven Markets : proceedings of …, (pp. 139-152). 2011

Persistent link: https://www.econbiz.de/10009349718

Price jump prediction in a limit order book

Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255

Persistent link: https://www.econbiz.de/10010239589

A mathematical approach to order book modeling

Abergel, Frédéric; Jedidi, Aymen - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-40

Persistent link: https://www.econbiz.de/10009784056

Market microstructure : confronting many viewpoints

Abergel, Frédéric (ed.); … - 2012

Persistent link: https://www.econbiz.de/10009524952

Econophysics of agent-based models

Abergel, Frédéric (ed.) - 2014

Persistent link: https://www.econbiz.de/10010479169

[Rezension von: Econophysics of agent-based models, Frédéric Abergel ... eds.]

LeBaron, Blake Dean - In: Journal of economic literature 52 (2014) 3, pp. 855-858

Persistent link: https://www.econbiz.de/10011377637