4 citations · 4 across the 3 of their papers we have counts for
Showing q-fin.TRShow all
2 papers · 1 filter
q-fin.TR2025
Learning the Spoofability of Limit Order Books With Interpretable Probabilistic Neural Networks
Timothée Fabre, Damien Challet
This paper investigates real-time detection of spoofing activity in limit order books, focusing on cryptocurrency centralized exchanges. We first introduce novel order flow variabl…
q-fin.TR2024★ 4 cited
Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets
Timothée Fabre, Ioane Muni Toke
We propose a novel approach to marked Hawkes kernel inference which we name the moment-based neural Hawkes estimation method. Hawkes processes are fully characterized by their firs…