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Disentangling and quantifying market participant volatility contributions - MaRDI portal

Disentangling and quantifying market participant volatility contributions (Q5235452)

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scientific article; zbMATH DE number 7116173
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English
Disentangling and quantifying market participant volatility contributions
scientific article; zbMATH DE number 7116173

    Statements

    title
    Disentangling and quantifying market participant volatility contributions (English)
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    author
    Marcello Rambaldi
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    Emmanuel Bacry
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    Jean-François Muzy
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    publication date
    11 October 2019
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    zbMATH Keywords
    volatility
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    Hawkes process
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    agent-based model
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    high-frequency data
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    agent behavior
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    cites work
    Q4558519
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    Identifiers

    zbMATH DE Number
    7116173
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    OpenAlex ID
    W2962801270
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    arXiv ID
    1807.07036
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    Wikidata QID
    Q127977355
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