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20172019
most citedQueue-reactive Hawkes models for the order flow

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

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q-fin.TR2018

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…