173 citations · 942 across the 29 of their papers we have counts for
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physics.geo-ph2012★ 15 cited
Fertility Heterogeneity as a Mechanism for Power Law Distributions of Recurrence Times
A. Saichev, D. Sornette
We study the statistical properties of recurrence times in the self-excited Hawkes conditional Poisson process, the simplest extension of the Poisson process that takes into accoun…
q-fin.ST2012
Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators
Alexander Saichev, Svetlana Lapinova
Comparative statistical properties of Parkinson, Garman-Klass, Roger-Satchell and bridge oscillation estimators are discussed. Point and interval estimations, related with mentione…
q-fin.TR2012★ 7 cited
A simple microstructure return model explaining microstructure noise and Epps effects
A. Saichev, D. Sornette
We present a simple microstructure model of financial returns that combines (i) the well-known ARFIMA process applied to tick-by-tick returns, (ii) the bid-ask bounce effect, (iii)…