activity
20042025
most citedBayesian Analysis of Value-at-Risk with Product Partition Models

4 citations · 7 across the 5 of their papers we have counts for

collaborators
Showing 2016Show all

1 paper · 1 filter

q-fin.TR2016

Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model

Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud +2

Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improve…