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Modelling asset prices for algorithmic and high-frequency trading

Cartea, Álvaro; Jaimungal, Sebastian - In: Applied mathematical finance 20 (2013) 5/6, pp. 512-547

Persistent link: https://www.econbiz.de/10010235563

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

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

Algorithmic trading in a microstructural limit order book model

Abergel, Frédéric; Huré, Côme; Pham, Huyên - In: Quantitative finance 20 (2020) 8, pp. 1263-1283

Persistent link: https://www.econbiz.de/10012262662

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …

Persistent link: https://www.econbiz.de/10010256970

Limit order books, diffusion approximations and reflected SPDEs : from microscopic to macroscopic models

Hambly, Ben; Kalsi, Jasdeep; Newbury, James - In: Applied mathematical finance 27 (2020) 1/2, pp. 132-170

Persistent link: https://www.econbiz.de/10012254111

Modelling order arrivals at price limits using Hawkes processes

Haghighi, Afshin; Fallahpour, Saeid; Eyvazlu, Reza - In: Finance research letters 19 (2016), pp. 267-272

Persistent link: https://www.econbiz.de/10011657715

Optimal limit order book trading strategies with stochastic volatility in the underlying asset

Aydoğan, Burcu; Uğur, Ömür; Aksoy, Ümit - In: Computational economics 62 (2023) 1, pp. 289-324

Persistent link: https://www.econbiz.de/10014327497

Classification of flash crashes using the Hawkes(p,q) framework

Wehrli, Alexander; Sornette, Didier - 2020

Persistent link: https://www.econbiz.de/10012419619

Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data

Lee, Kyungsub; Seo, Byoung Ki - In: Journal of economic dynamics & control 79 (2017), pp. 154-183

Persistent link: https://www.econbiz.de/10011817616