3 papers
stat.ME2023
Are Information criteria good enough to choose the right the number of regimes in Hidden Markov Models?
Bouchra R Nasri, Bruno N Rémillard, Mamadou Y Thioub
Selecting the number of regimes in Hidden Markov models is an important problem. There are many criteria that are used to select this number, such as Akaike information criterion (…
math.PR2023
Central limit theorems for martingales-I : continuous limits
Bruno Rémillard, Jean Vaillancourt
When the limiting compensator of a sequence of martingales is continuous, we obtain a weak convergence theorem for the martingales; the limiting process can be written as a Brownia…
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…