3 citations · 3 across the 1 of their papers we have counts for
3 papers
q-fin.ST2018
What Makes An Asset Useful?
Yves-Laurent Kom Samo, Dieter Hendricks
Given a new candidate asset represented as a time series of returns, how should a quantitative investment manager be thinking about assessing its usefulness? This is a key qualitat…
q-fin.TR2017★ 3 cited
Inferring agent objectives at different scales of a complex adaptive system
Dieter Hendricks, Adam Cobb, Richard Everett +2
We introduce a framework to study the effective objectives at different time scales of financial market microstructure. The financial market can be regarded as a complex adaptive s…
q-fin.TR2016
The statistical significance of multivariate Hawkes processes fitted to limit order book data
Roger Martins, Dieter Hendricks
Hawkes processes have seen a number of applications in finance, due to their ability to capture event clustering behaviour typically observed in financial systems. Given a calibrat…