78 citations · 161 across the 7 of their papers we have counts for
Showing 2016Show all
3 papers · 1 filter
q-fin.TR2016★ 2 cited
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…
q-fin.TR2016
Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets
Dieter Hendricks
We present a scheme for online, unsupervised state discovery and detection from streaming, multi-featured, asynchronous data in high-frequency financial markets. Online feature cor…
q-fin.TR2016★ 10 cited
Deviations in expected price impact for small transaction volumes under fee restructuring
Michael Harvey, Dieter Hendricks, Tim Gebbie +1
We report on the occurrence of an anomaly in the price impacts of small transaction volumes following a change in the fee structure of an electronic market. We first review evidenc…