10 citations · 12 across the 10 of their papers we have counts for
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q-fin.MF2017★ 10 cited
A General Class of Multifractional Processes and Stock Price Informativeness
Qidi Peng, Ran Zhao
We introduce a general class of stochastic processes driven by a multifractional Brownian motion (mBm) and study the estimation problems of their pointwise Hölder exponents (PHE) b…
q-fin.MF2016
A String Model of Liquidity in Financial Markets
Sergey Lototsky, Henry Schellhorn, Ran Zhao
We consider a dynamic market model of liquidity where unmatched buy and sell limit orders are stored in order books. The resulting net demand surface constitutes the sole input to…