Classification of flash crashes using the Hawkes(p,q) framework*-Reference-Cited by-同舟云学术

Classification of flash crashes using the Hawkes(p,q) framework*

Published:2021-09-15 Issue: Volume: Page:1-28
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Wehrli Alexander¹²,Sornette Didier¹³⁴⁵

Affiliation:

1. Department of Management, Technology and Economics, ETH Zurich, Zurich, Switzerland

2. Swiss National Bank, Boersenstrasse, 15, Zurich CH-8001, Switzerland

3. Swiss Finance Institute, c/o University of Geneva, 40 blvd. Du Pont d'Arve, CH–1211 Geneva 4, Geneva, Switzerland

4. Tokyo Tech World Research Hub Initiative, Institute of Innovative Research, Tokyo Institute of Technology, Tokyo, Japan

5. Institute of Risk Analysis, Prediction and Management (Risks-X), Academy for Advanced Interdisciplinary Studies, Southern University of Science and Technology (SUSTech), Shenzhen 518055, People's Republic of China

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1941212

Reference125 articles.

1. Aite Group, New World Order, The high frequency trading community and its impact on market structure. The Aite Group report, 2009, pp. 1–39 (unpublished).

2. Ruin probabilities and aggregrate claims distributions for shot noise Cox processes

3. The Flash Crash: A New Deconstruction

4. Reflecting on the VPIN dispute

5. Anderson, N., Webber, L., Noss, J., Beale, D. and Crowley-Reidy, L., The resilience of financial market liquidity. Bank of England Financial Stability Paper No. 34, October 2015.

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