63 citations · 123 across the 5 of their papers we have counts for
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math.ST2013★ 63 cited
Estimation of the lead-lag parameter from non-synchronous data
M. Hoffmann, M. Rosenbaum, N. Yoshida
We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process reproduces a lead-lag effect if, for…
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,...…