63 citations · 123 across the 5 of their papers we have counts for
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q-fin.TR2013
Estimating the efficient price from the order flow: a Brownian Cox process approach
Sylvain Delattre, Christian Y. Robert, Mathieu Rosenbaum
At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...…
q-fin.TR2012★ 5 cited
Large tick assets: implicit spread and optimal tick size
Khalil Dayri, Mathieu Rosenbaum
In this work, we provide a framework linking microstructural properties of an asset to the tick value of the exchange. In particular, we bring to light a quantity, referred to as i…