3 papers
q-fin.MF2025
Optimal risk-aware interest rates for decentralized lending protocols
Bastien Baude, Damien Challet, Ioane Muni Toke
Interest rates in decentralized lending protocols are set algorithmically and adjust to supply and demand for liquidity. In this study, we propose an optimal interest rate model th…
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…