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Quantitative Finance Volume 19, 2019 - Issue 10
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Research Papers

Disentangling and quantifying market participant volatility contributions

Marcello RambaldiCEREMADE, Université Paris-Dauphine, CNRS, UMR 7534, 75775Paris, FranceCorrespondence[email protected]
,
Emmanuel BacryCEREMADE, Université Paris-Dauphine, CNRS, UMR 7534, 75775Paris, France;CMAP, Ecole Polytechnique, CNRS, UMR 7641, 91128Palaiseau, France
&
Jean-François MuzySPE, Université de Corse, CNRS, UMR 6134, Campus Grimaldi, 20250Corte, France
Pages 1613-1625 | Received 05 Jul 2018, Accepted 01 Mar 2019, Published online: 25 Apr 2019

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Alexander Wehrli & Didier Sornette. (2022) Classification of flash crashes using the Hawkes(p,q) framework. Quantitative Finance 22:2, pages 213-240.
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Alexander Wehrli, Spencer Wheatley & Didier Sornette. (2021) Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes. Quantitative Finance 21:5, pages 729-752.
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Articles from other publishers (2)

A E Clements, A S Hurn, K A Lindsay & V V Volkov. (2023) Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes. Journal of Financial Econometrics 21:5, pages 1759-1790.
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Peng Wu, Jean-François Muzy & Emmanuel Bacry. (2022) From rough to multifractal volatility: The log S-fBM model. Physica A: Statistical Mechanics and its Applications 604, pages 127919.
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