129 citations · 137 across the 7 of their papers we have counts for
3 papers · 1 filter
Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling
Emmanuel Bacry, Thibault Jaisson, Jean-Francois Muzy
We present a modified version of the non parametric Hawkes kernel estimation procedure studied in arXiv:1401.0903 that is adapted to slowly decreasing kernels. We show on numerical…
Volatility is rough
Jim Gatheral, Thibault Jaisson, Mathieu Rosenbaum
Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essential…
Limit theorems for nearly unstable Hawkes processes
Thibault Jaisson, Mathieu Rosenbaum
Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in pract…