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Pierre Blanc · Study
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Author
Pierre Blanc
3 works
· latest 2016
· 1 institutions
cluster: provisional
ORCID 0000-0003-2863-9490
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Citations
187
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Most cited in this library
Quadratic Hawkes processes for financial prices
2016 · 95 citations
Dynamic optimal execution in a mixed-market-impact Hawkes price model
2015 · 62 citations
The fine structure of volatility feedback II: Overnight and intra-day effects
2014 · 30 citations
Works
3 shown
Quadratic Hawkes processes for financial prices
Quantitative Finance
·
2016
·
3 authors
95
citations
Dynamic optimal execution in a mixed-market-impact Hawkes price model
Finance and Stochastics
·
2015
·
2 authors
·
Open access
62
citations
The fine structure of volatility feedback II: Overnight and intra-day effects
Physica A Statistical Mechanics and its Applications
·
2014
·
3 authors
·
Open access
30
citations