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researcher

M. Rambaldi

3 papers hereh-index 7213 citations8 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • first author1
  • middle author1
  • last author1

Across the 3 of 3 papers where every author was matched, so the position is known.

fields
  • q-fin.TR3

identity via Semantic Scholar / OpenAlex

activity
20172019
most citedQueue-reactive Hawkes models for the order flow

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

collaborators
Showing 2019Show all

1 paper · 1 filter

q-fin.TR2019★ 11 cited

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…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.