57 citations · 174 across the 20 of their papers we have counts for
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math.ST2013★ 21 cited
New procedures controlling the false discovery proportion via Romano-Wolf's heuristic
Sylvain Delattre, Etienne Roquain
The false discovery proportion (FDP) is a convenient way to account for false positives when a large number of tests are performed simultaneously. Romano and Wolf [Ann. Statist…
q-fin.TR2013
Estimating the efficient price from the order flow: a Brownian Cox process approach
Sylvain Delattre, Christian Y. Robert, Mathieu Rosenbaum
At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...…