76 citations · 87 across the 2 of their papers we have counts for
2 papers
q-fin.TR2019★ 11 cited
Queue-reactive Hawkes models for the order flow
Peng Wu, Marcello Rambaldi, Jean-François Muzy +1
In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit o…
q-fin.TR2014★ 76 cited
Modeling FX market activity around macroeconomic news: a Hawkes process approach
Marcello Rambaldi, Paris Pennesi, Fabrizio Lillo
We present a Hawkes model approach to foreign exchange market in which the high frequency price dynamics is affected by a self exciting mechanism and an exogenous component, genera…