48 citations · 83 across the 12 of their papers we have counts for
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q-fin.TR2013★ 11 cited
Tick Size Reduction and Price Clustering in a FX Order Book
Mehdi Lallouache, Frédéric Abergel
We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large…
stat.AP2013
Ergodicity and scaling limit of a constrained multivariate Hawkes process
Ban Zheng, François Roueff, Frédéric Abergel
We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivari…