10 citations · 10 across the 2 of their papers we have counts for
2 papers
q-fin.TR2012★ 10 cited
Modeling First Line Of An Order Book With Multivariate Marked Point Processes
Alexis Fauth, Ciprian A. Tudor
We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique…
math.PR2012
Multifractal random walks with fractional Brownian motion via Malliavin calculus
Alexis Fauth, Ciprian Tudor
We introduce a Multifractal Random Walk (MRW) defined as a stochastic integral of an infinitely divisible noise with respect to a dependent fractional Brownian motion. Using the te…