3 citations · 4 across the 6 of their papers we have counts for
9 papers
Optimal trading: a model predictive control approach
Simon Clinet, Jean-François Perreton, Serge Reydellet
We develop a dynamic trading strategy in the Linear Quadratic Regulator (LQR) framework. By including a price mean-reversion signal into the optimization program, in a trading envi…
Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes
Simon Clinet
We develop a quasi-likelihood analysis procedure for a general class of multivariate marked point processes. As a by-product of the general method, we establish under stability and…
Cointegration in high frequency data
Simon Clinet, Yoann Potiron
In this paper, we consider a framework adapting the notion of cointegration when two asset prices are generated by a driftless Itô-semimartingale featuring jumps with infinite acti…
Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes
Simon Clinet, William T. M. Dunsmuir, Gareth W. Peters +1
The asymptotic distribution of the score test of the null hypothesis that marks do not impact the intensity of a Hawkes marked self-exciting point process is shown to be chi-square…
Estimation for high-frequency data under parametric market microstructure noise
Simon Clinet, Yoann Potiron
We develop a general class of noise-robust estimators based on the existing estimators in the non-noisy high-frequency data literature. The microstructure noise is a parametric fun…
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Simon Clinet, Yoann Potiron
In this paper, we build tests for the presence of residual noise in a model where the market microstructure noise is a known parametric function of some variables from the limit or…
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Simon Clinet, Yoann Potiron
This paper shows how to carry out efficient asymptotic variance reduction when estimating volatility in the presence of stochastic volatility and microstructure noise with the real…
Statistical inference for the doubly stochastic self-exciting process
Simon Clinet, Yoann Potiron
We introduce and show the existence of a Hawkes self-exciting point process with exponentially-decreasing kernel and where parameters are time-varying. The quantity of interest is…
Statistical Inference for Ergodic Point Processes and Application to Limit Order Book
Simon Clinet, Nakahiro Yoshida
We construct a general procedure for the Quasi Likelihood Analysis applied to a multivariate point process on the real half line in an ergodic framework. More precisely, we assume…