118 citations · 167 across the 15 of their papers we have counts for
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econ.EM2022
Bayesian Bilinear Neural Network for Predicting the Mid-price Dynamics in Limit-Order Book Markets
Martin Magris, Mostafa Shabani, Alexandros Iosifidis
The prediction of financial markets is a challenging yet important task. In modern electronically-driven markets, traditional time-series econometric methods often appear incapable…
econ.EM2019★ 1 cited
On the simulation of the Hawkes process via Lambert-W functions
Martin Magris
Several methods have been developed for the simulation of the Hawkes process. The oldest approach is the inverse sampling transform (ITS) suggested in \citep{ozaki1979maximum}, but…
econ.EM2019
A Vine-copula extension for the HAR model
Martin Magris
The heterogeneous autoregressive (HAR) model is revised by modeling the joint distribution of the four partial-volatility terms therein involved. Namely, today's, yesterday's, last…