3 papers
math.ST2021
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…
q-fin.ST2019
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…
math.ST2019
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…