76 citations · 171 across the 6 of their papers we have counts for
6 papers
Queue-reactive Hawkes models for the order flow
Peng Wu, Marcello Rambaldi, Jean-François Muzy +1
In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit o…
Disentangling and quantifying market participant volatility contributions
Marcello Rambaldi, Emmanuel Bacry, Jean-François Muzy
Thanks to the access to labeled orders on the Cac40 index future provided by Euronext, we are able to quantify market participants contributions to the volatility in the diffusive…
Analysis of order book flows using a nonparametric estimation of the branching ratio matrix
Massil Achab, Emmanuel Bacry, Jean-François Muzy +1
We introduce a new non parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branchi…
Detection of intensity bursts using Hawkes processes: an application to high frequency financial data
Marcello Rambaldi, Vladimir Filimonov, Fabrizio Lillo
Given a stationary point process, an intensity burst is defined as a short time period during which the number of counts is larger than the typical count rate. It might signal a lo…
The role of volume in order book dynamics: a multivariate Hawkes process analysis
Marcello Rambaldi, Emmanuel Bacry, Fabrizio Lillo
We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy (2015) can be successfully used to study complex int…
Modeling FX market activity around macroeconomic news: a Hawkes process approach
Marcello Rambaldi, Paris Pennesi, Fabrizio Lillo
We present a Hawkes model approach to foreign exchange market in which the high frequency price dynamics is affected by a self exciting mechanism and an exogenous component, genera…