Quadratic Hawkes processes for financial prices

Citations

Cited by:

1. Léo Parent, 2022. "The EWMA Heston model," Post-Print hal-04431111, HAL.
2. Turiel, Jeremy D. & Aste, Tomaso, 2022. "Heterogeneous criticality in high frequency finance: a phase transition in flash crashes," LSE Research Online Documents on Economics 113892, London School of Economics and Political Science, LSE Library.
3. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant & Julien Guilbert, 2024. "Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity," Papers 2405.03496, arXiv.org, revised May 2024.
4. Kevin Primicerio & Damien Challet, 2018. "Large large-trader activity weakens the long memory of limit order markets," Papers 1803.08390, arXiv.org.
   • Kevin Primicerio & Damien Challet, 2019. "Large large-trader activity weakens the long memory of limit order markets," Post-Print hal-02021772, HAL.
5. Kyungsub Lee, 2022. "Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures," Papers 2207.05939, arXiv.org, revised Sep 2024.
6. Rudy Morel & Gaspar Rochette & Roberto Leonarduzzi & Jean-Philippe Bouchaud & St'ephane Mallat, 2022. "Scale Dependencies and Self-Similar Models with Wavelet Scattering Spectra," Papers 2204.10177, arXiv.org, revised Jun 2023.
7. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Working Papers hal-02998555, HAL.
8. Masato Hisakado & Kodai Hattori & Shintaro Mori, 2022. "Multi-dimensional Self-Exciting NBD Process and Default Portfolios," The Review of Socionetwork Strategies, Springer, vol. 16(2), pages 493-512, October.
9. Simon Clinet, 2020. "Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes," Papers 2001.11624, arXiv.org, revised Aug 2021.
10. Ofelia Bonesini & Giorgia Callegaro & Martino Grasselli & Gilles Pag`es, 2023. "From elephant to goldfish (and back): memory in stochastic Volterra processes," Papers 2306.02708, arXiv.org, revised Sep 2023.
11. Simon Clinet, 2022. "Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 189-225, July.
12. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Post-Print hal-02567495, HAL.
13. Omar El Euch & Jim Gatheral & Radov{s} Radoiv{c}i'c & Mathieu Rosenbaum, 2018. "The Zumbach effect under rough Heston," Papers 1809.02098, arXiv.org.
14. Mathieu Rosenbaum & Jianfei Zhang, 2022. "On the universality of the volatility formation process: when machine learning and rough volatility agree," Papers 2206.14114, arXiv.org.
15. Hai-Chuan Xu & Wei-Xing Zhou, 2020. "Modeling aggressive market order placements with Hawkes factor models," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-12, January.
    • Hai-Chuan Xu & Wei-Xing Zhou, 2018. "Modeling aggressive market order placements with Hawkes factor models," Papers 1811.08076, arXiv.org.
16. Marcus Cordi & Serge Kassibrakis & Damien Challet, 2018. "The market nanostructure origin of asset price time reversal asymmetry," Working Papers hal-01966419, HAL.
    • Marcus Cordi & Damien Challet & Serge Kassibrakis, 2019. "The market nanostructure origin of asset price time reversal asymmetry," Papers 1901.00834, arXiv.org.
17. Bruno Durin & Mathieu Rosenbaum & Gr'egoire Szymanski, 2023. "The two square root laws of market impact and the role of sophisticated market participants," Papers 2311.18283, arXiv.org.
18. Marcus Cordi & Damien Challet & Serge Kassibrakis, 2021. "The market nanostructure origin of asset price time reversal asymmetry," Quantitative Finance, Taylor & Francis Journals, vol. 21(2), pages 295-304, February.
    • Marcus Cordi & Damien Challet & Serge Kassibrakis, 2018. "The market nanostructure origin of asset price time reversal asymmetry," Post-Print hal-01966419, HAL.
    • Marcus Cordi & Damien Challet & Serge Kassibrakis, 2019. "The market nanostructure origin of asset price time reversal asymmetry," Papers 1901.00834, arXiv.org, revised Apr 2020.
19. Jean-Philippe Bouchaud, 2024. "The Self-Organized Criticality Paradigm in Economics & Finance," Papers 2407.10284, arXiv.org, revised Sep 2024.
20. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2021. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Post-Print hal-02998555, HAL.
21. Jean-Philippe Bouchaud, 2021. "Radical Complexity," Papers 2103.09692, arXiv.org.
22. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Working Papers hal-02567495, HAL.
23. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Endogenous Liquidity Crises," Papers 1912.00359, arXiv.org, revised Feb 2020.
24. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Papers 2005.05730, arXiv.org.
25. Jim Gatheral & Paul Jusselin & Mathieu Rosenbaum, 2020. "The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem," Papers 2001.01789, arXiv.org.
26. Fabio Baschetti & Giacomo Bormetti & Pietro Rossi, 2023. "Deep calibration with random grids," Papers 2306.11061, arXiv.org, revised Jan 2024.
27. Aditi Dandapani & Paul Jusselin & Mathieu Rosenbaum, 2019. "From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect," Papers 1907.06151, arXiv.org, revised Jan 2021.