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Quadratic Hawkes processes for financial prices
Pierre Blanc, Jonathan Donier, Jean-Philippe Bouchaud
We introduce and establish the main properties of QHawkes ("Quadratic" Hawkes) models. QHawkes models generalize the Hawkes price models introduced in E. Bacry et al. (2014), by al…
From Walras' auctioneer to continuous time double auctions: A general dynamic theory of supply and demand
Jonathan Donier, Jean-Philippe Bouchaud
In standard Walrasian auctions, the price of a good is defined as the point where the supply and demand curves intersect. Since both curves are generically regular, the response to…
Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights
Jonathan Donier, Jean-Philippe Bouchaud
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the…