3 papers
q-fin.TR2015
Liquidity and Impact in Fair Markets
Thibault Jaisson
We develop a theory which applies to any market dynamics that satisfy a fair market assumption on the nullity of the average profit of simple market making strategies. We show that…
math.PR2015
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
Thibault Jaisson, Mathieu Rosenbaum
We investigate the asymptotic behavior as time goes to infinity of Hawkes processes whose regression kernel has norm close to one and power law tail of the form ,…
math.ST2015
The different asymptotic regimes of nearly unstable autoregressive processes
Thibault Jaisson, Mathieu Rosenbaum
We extend classical results about the convergence of nearly unstable AR(p) processes to the infinite order case. To do so, we proceed as in recent works about Hawkes processes by u…