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Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit
16 references·2 citing·36 second hop
Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit (2014)Modelling Bid and Ask Prices Using Constr…Modeling financial contagion using mutually exciting jump processes (2015)Modeling financial contagion …Price Dynamics in a Markovian Limit Order Market (2013)Price Dynamics in a Markovian…Modelling microstructure noise with mutually exciting point processes (2012)Modelling microstructure nois…Econophysics review: I. Empirical facts (2011)Econophysics review: I. Empir…Affine Point Processes and Portfolio Credit Risk (2010)Affine Point Processes and Po…A Stochastic Model for Order Book Dynamics (2010)A Stochastic Model for Order …How Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Modelling security market events in continuous time: Intensity based, multivariate point process models (2007)Modelling security market eve…Measuring the resiliency of an electronic limit order book (2006)Measuring the resiliency of a…What really causes large price changes? (2004)What really causes large pric…Statistical theory of the continuous double auction (2003)Statistical theory of the con…Stochastic-process limits : an introduction to stochastic-process limits and their application to queues (2002)Stochastic-process limits : a…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Applied Probability and Queues (1987)Applied Probability and QueuesA Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process (2019)A Gamma Ornstein-Uhlenbeck Mo…Statistical inference for ergodic point processes and application to Limit Order Book (2016)Statistical inference for erg…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)Optimal trading strategy and supply/demand dynamics (2012)Fractional Brownian Motions, Fractional Noises and Applications (1968)Power Laws in Economics and Finance (2008)No-dynamic-arbitrage and market impact (2010)Power Laws in Economics: An Introduction (2016)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Option pricing when underlying stock returns are discontinuous (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Wavelet-based evidence of the impact of oil prices on stock returns (2013)Contagion in Mass Killings and School Shootings (2015)Hawkes Processes in Finance (2015)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Continuous Martingales and Brownian Motion (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Stochastic Integration and Differential Equations (2005)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Credit Default Swaps: A Survey (2014)Exploring the sources of default clustering (2018)Inferring Trade Direction from Intraday Data (1991)Applied Probability and Queues (2003)Limit Order Book as a Market for Liquidity (2005)Limit order books (2013)Universal features of price formation in financial markets: perspectives from deep learning (2019)Dynamic Routing in Large-Scale Service Systems with Heterogeneous Servers (2005)Queue-and-Idleness-Ratio Controls in Many-Server Service Systems (2009)Control of Patient Flow in Emergency Departments, or Multiclass Queues with Deadlines and Feedback (2015)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)
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References

  • 1987Applied Probability and Queues2,704 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2015Modeling financial contagion using mutually exciting jump processes576 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2002Stochastic-process limits : an introduction to stochastic-process limits and their application to queues468 cited
  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 2007Modelling security market events in continuous time: Intensity based, multivariate point process models397 cited
  • 2010Affine Point Processes and Portfolio Credit Risk373 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2011Econophysics review: I. Empirical facts345 cited
  • 2012Modelling microstructure noise with mutually exciting point processes304 cited
  • 2013Price Dynamics in a Markovian Limit Order Market294 cited
  • 2006Measuring the resiliency of an electronic limit order book279 cited

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2004
What really causes large price changes?
276 cited

Cited by

  • 2016Statistical inference for ergodic point processes and application to Limit Order Book42 cited
  • 2019A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process32 cited