927 citations · 2.7k across the 62 of their papers we have counts for
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q-fin.ST2017★ 5 cited
Testing the causality of Hawkes processes with time reversal
Marcus Cordi, Damien Challet, Ioane Muni Toke
We show that univariate and symmetric multivariate Hawkes processes are only weakly causal: the true log-likelihoods of real and reversed event time vectors are almost equal, thus…
q-fin.ST2017
Wisdom of the institutional crowd
Kevin Primicerio, Damien Challet, Stanislao Gualdi
The average portfolio structure of institutional investors is shown to have properties which account for transaction costs in an optimal way. This implies that financial institutio…