597 citations · 632 across the 6 of their papers we have counts for
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q-fin.TR2026
Modelling Regime Shifts in Continuous Intraday Electricity Markets with State-dependent Hawkes Processes
Ayoub Jhabli, Tarek AlSkaif, Kwabena E. Bennin +3
The growing importance of intraday trading in Europe, driven by the increasing penetration of renewable energy sources, has led to higher volatility and periods of market stress. U…
q-fin.TR2021★ 3 cited
When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book
Marjolein E. Verhulst, Philippe Debie, Stephan Hageboeck +6
We introduce a methodology to visualize the limit order book (LOB) using a particle physics lens. Open-source data-analysis tool ROOT, developed by CERN, is used to reconstruct and…