48 citations · 150 across the 12 of their papers we have counts for
3 papers · 1 filter
Price impact in equity auctions: zero, then linear
Mohammed Salek, Damien Challet, Ioane Muni Toke
Using high-quality data, we report several statistical regularities of equity auctions in the Paris stock exchange. First, the average order book density is linear around the aucti…
Testing the causality of Hawkes processes with time reversal
Marcus Cordi, Damien Challet, Ioane Muni Toke
We show that univariate and symmetric multivariate Hawkes processes are only weakly causal: the true log-likelihoods of real and reversed event time vectors are almost equal, thus…
Financial bubbles analysis with a cross-sectional estimator
Frederic Abergel, Nicolas Huth, Ioane Muni Toke
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical t…