3 papers
q-fin.TR2025
Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks
Timothée Fabre, Damien Challet
This paper investigates real-time detection of spoofing activity in limit order books, focusing on cryptocurrency centralized exchanges. We first introduce novel order flow variabl…
stat.ME2025
High-Frequency Market Manipulation Detection with a Markov-modulated Hawkes process
Timothée Fabre, Ioane Muni Toke
This work focuses on a self-exciting point process defined by a Hawkes-like intensity and a switching mechanism based on a hidden Markov chain. Previous works in such a setting ass…
q-fin.TR2024
Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets
Timothée Fabre, Ioane Muni Toke
We propose a novel approach to marked Hawkes kernel inference which we name the moment-based neural Hawkes estimation method. Hawkes processes are fully characterized by their firs…