11 citations · 11 across the 2 of their papers we have counts for
3 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…