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Found 7 papers, 0 papers with code
Liquidity takers behavior representation through a contrastive learning approach
Thanks to the access to the labeled orders on the CAC40 data from Euronext, we are able to analyze agents' behaviors in the market based on their placed orders.
The self-exciting nature of the bid-ask spread dynamics
The bid-ask spread, which is defined by the difference between the best selling price and the best buying price in a Limit Order Book at a given time, is a crucial factor in the analysis of financial securities.
From Rough to Multifractal volatility: the log S-fBM model
We introduce a family of random measures $M_{H, T} (d t)$, namely log S-fBM, such that, for $H>0$, $M_{H, T}(d t) = e^{\omega_{H, T}(t)} d t$ where $\omega_{H, T}(t)$ is a Gaussian process that can be considered as a stationary version of an $H$-fractional Brownian motion.
Mean-field inference of Hawkes point processes
We propose a fast and efficient estimation method that is able to accurately recover the parameters of a d-dimensional Hawkes point-process from a set of observations.
Hawkes processes in finance
In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance.
Trading and Market Microstructure
Sparse and low-rank multivariate Hawkes processes
We consider the problem of unveiling the implicit network structure of node interactions (such as user interactions in a social network), based only on high-frequency timestamps.
Concentration for matrix martingales in continuous time and microscopic activity of social networks
This paper gives new concentration inequalities for the spectral norm of a wide class of matrix martingales in continuous time.
