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A switching microstructure model for stock prices

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  • Hainaut, Donatien
  • Goutte, Stephane

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  • Hainaut, Donatien & Goutte, Stephane, 2018. "A switching microstructure model for stock prices," LIDAM Discussion Papers ISBA 2018014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2018014
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    18. Donatien Hainaut, 2016. "A model for interest rates with clustering effects," Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1203-1218, August.
    19. José Da Fonseca & Riadh Zaatour, 2014. "Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(6), pages 548-579, June.
    20. Emmanuel Bacry & Jean-Fran�ois Muzy, 2014. "Hawkes model for price and trades high-frequency dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1147-1166, July.
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    22. Thibault Jaisson & Mathieu Rosenbaum, 2013. "Limit theorems for nearly unstable Hawkes processes," Papers 1310.2033, arXiv.org, revised Mar 2015.
    23. Hainaut, Donatien, 2016. "A bivariate Hawkes process for interest rate modeling," Economic Modelling, Elsevier, vol. 57(C), pages 180-196.
    24. Donatien Hainaut, 2016. "A model for interest rates with clustering effects," Post-Print hal-01393994, HAL.
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    Cited by:

    1. Hainaut, Donatien, 2023. "A mutually exciting rough jump diffusion for financial modelling," LIDAM Discussion Papers ISBA 2023011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Hainaut, Donatien, 2020. "Fractional Hawkes processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
    3. Kyungsub Lee, 2022. "Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures," Papers 2207.05939, arXiv.org.
    4. Ketelbuters, John John & Hainaut, Donatien, 2021. "Time-Consistent Evaluation of Credit Risk with Contagion," LIDAM Discussion Papers ISBA 2021004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Hainaut, Donatien, 2019. "Fractional Hawkes processes," LIDAM Discussion Papers ISBA 2019016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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