1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2023
Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
Nabil Bouamara, Kris Boudt, Sébastien Laurent +1
Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle…
q-fin.CP2023★ 1 cited
Generating drawdown-realistic financial price paths using path signatures
Emiel Lemahieu, Kris Boudt, Maarten Wyns
A novel generative machine learning approach for the simulation of sequences of financial price data with drawdowns quantifiably close to empirical data is introduced. Applications…