31 citations · 36 across the 3 of their papers we have counts for
3 papers
q-fin.TR2015
Extension and calibration of a Hawkes-based optimal execution model
Aurélien Alfonsi, Pierre Blanc
We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independent…
q-fin.TR2014★ 5 cited
Dynamic optimal execution in a mixed-market-impact Hawkes price model
Aurélien Alfonsi, Pierre Blanc
We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved ex…
q-fin.ST2013★ 31 cited
The fine structure of volatility feedback II: overnight and intra-day effects
Pierre Blanc, Rémy Chicheportiche, Jean-Philippe Bouchaud
We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day re…