activity
20182023
most citedModeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data

13 citations · 13 across the 3 of their papers we have counts for

collaborators
Showing 2018Show all

1 paper · 1 filter

q-fin.MF2018

Hyperbolic normal stochastic volatility model

Jaehyuk Choi, Chenru Liu, Byoung Ki Seo

For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter…