Price Impact Without Averaging

DOI10.1080/1350486X.2024.2303078WikidataQ129323926 ScholiaQ129323926MaRDI QIDQ6490770

Claudio Bellani, Mikko S. Pakkanen, Damiano Brigo, Leandro Sánchez-Betancourt

Publication date: 23 April 2024

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial markets (91G15)

Cites Work

• A simple proof of the multivariate random time change theorem for point processes
• Enhancing trading strategies with order book signals
• State-dependent Hawkes processes and their application to limit order book modelling
• Hawkes model for price and trades high-frequency dynamics
• An Introduction to the Theory of Point Processes
• No‐arbitrage implies power‐law market impact and rough volatility

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