129 citations · 137 across the 7 of their papers we have counts for
Showing 2014Show all
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q-fin.ST2014★ 8 cited
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…
q-fin.ST2014
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…
q-fin.TR2014
Market impact as anticipation of the order flow imbalance
Thibault Jaisson
In this paper, we assume that the permanent market impact of metaorders is linear and that the price is a martingale. Those two hypotheses enable us to derive the evolution of the…