2 citations · 5 across the 3 of their papers we have counts for
3 papers
math.PR2017★ 1 cited
A buffer Hawkes process for limit order books
Ingemar Kaj, Mine Caglar
We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buf…
math.PR2012★ 2 cited
Distribution of Maximum Loss for Fractional Brownian Motion
Mine Caglar, Ceren Vardar
In finance, the price of a volatile asset can be modeled using fractional Brownian motion (fBm) with Hurst parameter The Black-Scholes model for the values of returns of a…
math.PR2011★ 2 cited
Stock Price Processes with Infinite Source Poisson Agents
Mine Caglar
We construct a general stochastic process and prove weak convergence results. It is scaled in space and through the parameters of its distribution. We show that our simplified scal…