1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.MF2022
Multivariate Hawkes-based Models in LOB: European, Spread and Basket Option Pricing
Qi Guo, Anatoliy Swishchuk, Bruno Rémillard
In this paper, we consider pricing of European options and spread options for Hawkes-based model for the limit order book. We introduce multivariate Hawkes process and the multivar…
q-fin.MF2020★ 1 cited
Multivariate General Compound Point Processes in Limit Order Books
Qi Guo, Bruno Remillard, Anatoliy Swishchuk
In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MG…