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Transform analysis for Hawkes processes with applications in dark pool trading
16 references·0 citing·51 second hopsampled
Transform analysis for Hawkes processes with applications in dark pool trading (2017)Transform analysis for Hawkes processes w…Dark pool trading strategies, market quality and welfare (2016)Dark pool trading strategies,…Limit theorems for nearly unstable Hawkes processes (2015)Limit theorems for nearly uns…Hawkes Processes in Finance (2015)Hawkes Processes in FinanceHawkes model for price and trades high-frequency dynamics (2014)Hawkes model for price and tr…Limit theorems for nearly unstable Hawkes processes (2013)Limit theorems for nearly uns…Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Dynamical Models of Market Im…Do Dark Pools Harm Price Discovery? (2013)Do Dark Pools Harm Price Disc…Option Pricing Under a Mixed-Exponential Jump Diffusion Model (2011)Option Pricing Under a Mixed-…Buy Low Sell High: A High Frequency Trading Perspective (2011)Buy Low Sell High: A High Fre…A dynamic contagion process (2011)A dynamic contagion processAffine Point Processes and Portfolio Credit Risk (2010)Affine Point Processes and Po…Modelling security market events in continuous time: Intensity based, multivariate point process models (2007)Modelling security market eve…Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Pricing Under a Double…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Crossing Networks and Dealer Markets: Competition and Performance (2000)Crossing Networks and Dealer …Option valuation using the fast Fourier transform (1999)Option valuation using the fa…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)A Theory of the Term Structure of Interest Rates (1985)Measuring the Information Content of Stock Trades (1991)Hawkes processes and their applications to finance: a review (2017)The microstructural foundations of leverage effect and rough volatility (2018)Stock Selection via Spatiotemporal Hypergraph Attention Network: A Learning to Rank Approach (2021)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Network externalities, competition, and compatibility (1985)Asset pricing and the bid-ask spread (1986)Liquidity-Based Competition for Order Flow (2003)Island Goes Dark: Transparency, Fragmentation, and Regulation (2005)Dark trading and price discovery (2015)Continuous Auctions and Insider Trading (1985)Market Liquidity and Funding Liquidity (2008)The Impact of Dark Trading and Visible Fragmentation on Market Quality (2014)Price Discovery without Trading: Evidence from Limit Orders (2019)Continuous Martingales and Brownian Motion (1999)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)Optimal dealer pricing under transactions and return uncertainty (1981)Market microstructure theory (1995)Optimal execution of portfolio transactions (2001)Optimal Portfolio Liquidation with Limit Orders (2012)Modelling high-frequency limit order book dynamics with support vector machines (2015)Incorporating order-flow into optimal execution (2016)Price, trade size, and information in securities markets (1987)Inferring Trade Direction from Intraday Data (1991)Measuring the resiliency of an electronic limit order book (2006)Modelling microstructure noise with mutually exciting point processes (2012)An equilibrium characterization of the term structure (1977)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Optimal stopping and perpetual options for Lévy processes (2002)First passage times of a jump diffusion process (2003)Theory of rational option pricing (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Option pricing when underlying stock returns are discontinuous (1976)Empirical Performance of Alternative Option Pricing Models (1997)Options, Futures and Other Derivatives (2003)Exit problems for jump processes with applications to dividend problems (2012)Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model (2012)A finance approach to climate stress testing (2022)
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References

  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 2015Hawkes Processes in Finance459 cited
  • 2007Modelling security market events in continuous time: Intensity based, multivariate point process models397 cited
  • 2010Affine Point Processes and Portfolio Credit Risk373 cited
  • 2013Do Dark Pools Harm Price Discovery?309 cited
  • 2000Crossing Networks and Dealer Markets: Competition and Performance257 cited
  • 2011Buy Low Sell High: A High Frequency Trading Perspective199 cited
  • 2011Option Pricing Under a Mixed-Exponential Jump Diffusion Model192 cited
  • 2014Hawkes model for price and trades high-frequency dynamics189 cited
  • 2011A dynamic contagion process169 cited
  • 2013Dynamical Models of Market Impact and Algorithms for Order Execution140 cited
  • 2016Dark pool trading strategies, market quality and welfare131 cited
  • 2015Limit theorems for nearly unstable Hawkes processes127 cited
  • 2013

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Limit theorems for nearly unstable Hawkes processes
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