76 citations · 171 across the 6 of their papers we have counts for
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q-fin.TR2016★ 22 cited
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…
q-fin.TR2016★ 61 cited
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…