12 citations · 18 across the 7 of their papers we have counts for
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stat.ME2023
Consistent Causal Inference for High-Dimensional Time Series
Francesco Cordoni, Alessio Sancetta
A methodology for high dimensional causal inference in a time series context is introduced. It is assumed that there is a monotonic transformation of the data such that the dynamic…
q-fin.TR2023★ 6 cited
Estimation of an Order Book Dependent Hawkes Process for Large Datasets
Luca Mucciante, Alessio Sancetta
A point process for event arrivals in high frequency trading is presented. The intensity is the product of a Hawkes process and high dimensional functions of covariates derived fro…
cs.LG2023
Action-State Dependent Dynamic Model Selection
Francesco Cordoni, Alessio Sancetta
A model among many may only be best under certain states of the world. Switching from a model to another can also be costly. Finding a procedure to dynamically choose a model in th…