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Modelling microstructure noise with mutually exciting point processes - MaRDI portal

Modelling microstructure noise with mutually exciting point processes (Q5746743)

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scientific article; zbMATH DE number 6256460
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English
Modelling microstructure noise with mutually exciting point processes
scientific article; zbMATH DE number 6256460

    Statements

    title
    Modelling microstructure noise with mutually exciting point processes (English)
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    author
    Sylvain Delattre
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    Marc Hoffmann
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    Emmanuel Bacry
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    Jean-François Muzy
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    publication date
    8 February 2014
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    zbMATH Keywords
    market microstructure
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    advanced econometrics
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    continuous-time models
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    depth
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    volatility
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    random walks
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    stochastic models
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    empirical time series analysis
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    cites work

    Identifiers

    Mathematics Subject Classification ID
    91B25
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    60G55
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    60G50
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    62P05
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    91B84
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    zbMATH DE Number
    6256460
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    OpenAlex ID
    W2166822347
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    arXiv ID
    1101.3422
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