65 citations · 131 across the 17 of their papers we have counts for
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math.PR2021★ 1 cited
Stopping Times Occurring Simultaneously
Philip Protter, Alejandra Quintos
Stopping times are used in applications to model random arrivals. A standard assumption in many models is that they are conditionally independent, given an underlying filtration. T…
q-fin.MF2021★ 2 cited
Computing the Probability of a Financial Market Failure: A New Measure of Systemic Risk
Robert Jarrow, Philip Protter, Alejandra Quintos
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The d…
q-fin.TR2021
Order Book Queue Hawkes-Markovian Modeling
Philip Protter, Qianfan Wu, Shihao Yang
This article presents a Hawkes process model with Markovian baseline intensities for high-frequency order book data modeling. We classify intraday order book trading events into a…