Pages that link to "Item:Q5746743"
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The following pages link to Modelling microstructure noise with mutually exciting point processes (Q5746743):
Displaying 42 items.
- Collective synchronization and high frequency systemic instabilities in financial markets (Q4554420) (← links)
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421) (← links)
- Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events (Q4554425) (← links)
- Constant proportion portfolio insurance strategies in contagious markets (Q4554427) (← links)
- Quadratic Hawkes processes for financial prices (Q4555068) (← links)
- The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121) (← links)
- Statistical Properties of Microstructure Noise (Q4612526) (← links)
- Asymptotic analysis for affine point processes with large initial intensity (Q4615660) (← links)
- Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data (Q4619496) (← links)
- Semi-Markov Model for Market Microstructure (Q4682482) (← links)
- Market impact as anticipation of the order flow imbalance (Q4683068) (← links)
- Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
- PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES (Q4966641) (← links)
- (Q4969095) (← links)
- Estimation of Correlation Between Latent Processes (Q4976496) (← links)
- The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105) (← links)
- Renewal in Hawkes processes with self-excitation and inhibition (Q5005038) (← links)
- From microscopic price dynamics to multidimensional rough volatility models (Q5022269) (← links)
- The SINC way: a fast and accurate approach to Fourier pricing (Q5072903) (← links)
- State-dependent Hawkes processes and their application to limit order book modelling (Q5072914) (← links)
- Exchange options under clustered jump dynamics (Q5139207) (← links)
- Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms (Q5146684) (← links)
- Efficient simulation of Lévy-driven point processes (Q5203972) (← links)
- Analyzing order flows in limit order books with ratios of Cox-type intensities (Q5215440) (← links)
- A self-exciting switching jump diffusion: properties, calibration and hitting time (Q5234300) (← links)
- Disentangling and quantifying market participant volatility contributions (Q5235452) (← links)
- Hawkes model for price and trades high-frequency dynamics (Q5245453) (← links)
- RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR (Q5358112) (← links)
- The characteristic function of rough Heston models (Q5743116) (← links)
- Electricity Intraday Price Modelling with Marked Hawkes Processes (Q6039999) (← links)
- Portfolio liquidation games with self‐exciting order flow (Q6054433) (← links)
- Nonlinear Poisson autoregression and nonlinear Hawkes processes (Q6098998) (← links)
- Efficient Simulation of Sparse Graphs of Point Processes (Q6108734) (← links)
- Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources (Q6115890) (← links)
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)
- Order Book Queue Hawkes Markovian Modeling (Q6200514) (← links)
- A mutually exciting rough jump-diffusion for financial modelling (Q6495741) (← links)
- Diffusion approximations for self-excited systems with applications to general branching processes (Q6591583) (← links)
- Interest rate derivatives for the fractional Cox-Ingersoll-Ross model (Q6597649) (← links)
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing (Q6610445) (← links)
- Group Network Hawkes Process (Q6631729) (← links)
- A common shock model for multidimensional electricity intraday price modelling with application to battery valuation (Q6657690) (← links)