181 citations · 186 across the 3 of their papers we have counts for
3 papers
q-fin.TR2012★ 5 cited
Large tick assets: implicit spread and optimal tick size
Khalil Dayri, Mathieu Rosenbaum
In this work, we provide a framework linking microstructural properties of an asset to the tick value of the exchange. In particular, we bring to light a quantity, referred to as i…
q-fin.TR2011★ 181 cited
Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data
E. Bacry, K. Dayri, J. F. Muzy
We define a numerical method that provides a non-parametric estimation of the kernel shape in symmetric multivariate Hawkes processes. This method relies on second order statistica…
q-fin.TR2010
The nature of price returns during periods of high market activity
Khalil al Dayri, Emmanuel Bacry, Jean-Francois Muzy
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evide…