2 citations · 2 across the 2 of their papers we have counts for
3 papers
q-fin.ST2024
Estimation of bid-ask spreads in the presence of serial dependence
Xavier Brouty, Matthieu Garcin, Hugo Roccaro
Starting from a basic model in which the dynamic of the transaction prices is a geometric Brownian motion disrupted by a microstructure white noise, corresponding to the random alt…
q-fin.ST2023★ 2 cited
Fractal properties, information theory, and market efficiency
Xavier Brouty, Matthieu Garcin
Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset,…
q-fin.ST2022
A statistical test of market efficiency based on information theory
Xavier Brouty, Matthieu Garcin
We determine the amount of information contained in a time series of price returns at a given time scale, by using a widespread tool of the information theory, namely the Shannon e…