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Citations for "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models"

by Clive Bowsher

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  1. Ioane Muni Toke, 2010. ""Market making" behaviour in an order book model and its impact on the bid-ask spread," Papers 1003.3796, arXiv.org, revised Jun 2010.
  2. Ban Zheng & Fran\c{c}ois Roueff & Fr\'ed\'eric Abergel, 2013. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Papers 1301.5007, arXiv.org, revised Feb 2014.
  3. Emmanuel Bacry & Iacopo Mastromatteo & Jean-Fran\c{c}ois Muzy, 2015. "Hawkes processes in finance," Papers 1502.04592, arXiv.org, revised May 2015.
  4. Andr� A. Monteiro, 2008. "Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation," Tinbergen Institute Discussion Papers 08-021/2, Tinbergen Institute.
  5. Anthony Hall & Nikolaus Hautsch, 2006. "Order aggressiveness and order book dynamics," Empirical Economics, Springer, vol. 30(4), pages 973-1005, January.
  6. Vladimir Filimonov & Didier Sornette, 2013. "Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data," Papers 1308.6756, arXiv.org, revised Jul 2014.
  7. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford.
  8. Kohler, Alexander & von Wyss, Rico, 2012. "Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID," Working Papers on Finance 1209, University of St. Gallen, School of Finance.
  9. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques.
  10. Thibault Jaisson & Mathieu Rosenbaum, 2015. "Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes," Papers 1504.03100, arXiv.org.
  11. Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," Economics Papers 2004-W20, Economics Group, Nuffield College, University of Oxford.
  12. Hautsch, Nikolaus, 2008. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3978-4015, December.
  13. Jeremy Large, 2004. "Cancellation and uncertainty aversion on limit order books," OFRC Working Papers Series 2004fe04, Oxford Financial Research Centre.
  14. repec:wyi:journl:002211 is not listed on IDEAS
  15. Vladimir Filimonov & David Bicchetti & Nicolas Maystre, 2013. "Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets," UNCTAD Discussion Papers 212, United Nations Conference on Trade and Development.
  16. Wen Cao & Clifford Hurvich & Philippe Soulier, 2012. "Drift in transcation-level asset price models," Working Papers hal-00756372, HAL.
  17. Ting Wang & Mark Bebbington & David Harte, 2012. "Markov-modulated Hawkes process with stepwise decay," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(3), pages 521-544, June.
  18. Adam Clements & Yin Liao, 2014. "The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index," NCER Working Paper Series 101, National Centre for Econometric Research.
  19. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," CORE Discussion Papers 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  20. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
  21. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, 08.
  22. Clive G. Bowsher, 2003. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2003-W03, Economics Group, Nuffield College, University of Oxford.
  23. Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, School of Economics and Management, University of Aarhus.
  24. Wu, Zhengxiao, 2012. "On the intraday periodicity duration adjustment of high-frequency data," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 282-291.
  25. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2013. "Modelling systemic price cojumps with Hawkes factor models," Papers 1301.6141, arXiv.org, revised Mar 2013.
  26. Katarzyna Bień-Barkowska, 2014. "Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(1), pages 93-117, January.
  27. Large, Jeremy, 2007. "Measuring the resiliency of an electronic limit order book," Journal of Financial Markets, Elsevier, vol. 10(1), pages 1-25, February.
  28. Katarzyna Bień-Barkowska, 2014. "“Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market," Bank i Kredyt, National Bank of Poland, Economic Institute, vol. 45(3), pages 197-224.
  29. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2014. "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers 14-067/III, Tinbergen Institute.
  30. Thibault Jaisson & Mathieu Rosenbaum, 2013. "Limit theorems for nearly unstable Hawkes processes," Papers 1310.2033, arXiv.org, revised Mar 2015.
  31. Ban Zheng & François Roueff & Frédéric Abergel, 2014. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Post-Print hal-00777941, HAL.
  32. Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2015. "Collective synchronization and high frequency systemic instabilities in financial markets," Papers 1505.00704, arXiv.org.
  33. Toke, Ioane Muni & Pomponio, Fabrizio, 2011. "Modelling trades-through in a limited order book using Hawkes processes," Economics Discussion Papers 2011-32, Kiel Institute for the World Economy.
  34. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany.
  35. Volodymyr Korniichuk, 2012. "Forecasting extreme electricity spot prices," Cologne Graduate School Working Paper Series 03-14, Cologne Graduate School in Management, Economics and Social Sciences.
  36. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers 04-07, University of Copenhagen. Department of Economics.
  37. Angelos Dassios & Hongbiao Zhao, 2013. "Exact simulation of Hawkes process with exponentially decaying intensity," LSE Research Online Documents on Economics 51370, London School of Economics and Political Science, LSE Library.
  38. repec:hal:wpaper:hal-00777941 is not listed on IDEAS
  39. Clive Bowsher, 2004. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Model," Economics Series Working Papers 2003-W03, University of Oxford, Department of Economics.
  40. Ioane Muni Toke & Fabrizio Pomponio, 2012. "Modelling Trades-Through in a Limit Order Book Using Hawkes Processes," Post-Print hal-00745554, HAL.
  41. Grothe, Oliver & Korniichuk, Volodymyr & Manner, Hans, 2014. "Modeling multivariate extreme events using self-exciting point processes," Journal of Econometrics, Elsevier, vol. 182(2), pages 269-289.
  42. Yacine A\"it-Sahalia & T. R. Hurd, 2012. "Portfolio Choice in Markets with Contagion," Papers 1210.1598, arXiv.org.
  43. Gresnigt, Francine & Kole, Erik & Franses, Philip Hans, 2015. "Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 123-139.
  44. Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
  45. Emmanuel Bacry & Thibault Jaisson & Jean-Francois Muzy, 2014. "Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling," Papers 1412.7096, arXiv.org.
  46. Patrick W Saart & Jiti Gao & Nam Hyun Kim, 2014. "Econometric Time Series Specification Testing in a Class of Multiplicative Error Models," Monash Econometrics and Business Statistics Working Papers 1/14, Monash University, Department of Econometrics and Business Statistics.
  47. Toke, Ioane Muni & Pomponio, Fabrizio, 2012. "Modelling trades-through in a limit order book using hawkes processes," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 6, pages 1-23.
  48. Chen, Bin & Hong, Yongmiao, 2014. "A unified approach to validating univariate and multivariate conditional distribution models in time series," Journal of Econometrics, Elsevier, vol. 178(P1), pages 22-44.
  49. Kehrle, Kerstin & Peter, Franziska J., 2013. "Who moves first? An intensity-based measure for information flows across stock exchanges," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1629-1642.
  50. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2014. "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers 14-067/III, Tinbergen Institute.
  51. Jang, Jiwook & Dassios, Angelos, 2013. "A bivariate shot noise self-exciting process for insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 524-532.
  52. Adam E Clements & Yin Liao, 2013. "Modeling and forecasting realized volatility: getting the most out of the jump component," NCER Working Paper Series 93, National Centre for Econometric Research.
  53. Andre A. Monteiro, 2009. "The econometrics of randomly spaced financial data: a survey," Statistics and Econometrics Working Papers ws097924, Universidad Carlos III, Departamento de Estadística y Econometría.
  54. Bin Chen & Yongmiao Hong, 2013. "A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series," Papers 2013-10-14, Working Paper.
  55. Clive Bowsher, 2002. "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models," Economics Series Working Papers 2002-W22, University of Oxford, Department of Economics.
  56. Oliver Grothe & Volodymyr Korniichuk & Hans Manner, 2012. "Modeling Multivariate Extreme Events Using Self-Exciting Point Processes," Cologne Graduate School Working Paper Series 03-06, Cologne Graduate School in Management, Economics and Social Sciences, revised 20 Jun 2013.
  57. Zhu, Lingjiong, 2013. "Moderate deviations for Hawkes processes," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 885-890.
  58. Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, vol. 10(3), pages 249-286, August.
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