No‐arbitrage implies power‐law market impact and rough volatility-Reference-Cited by-同舟云学术

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No‐arbitrage implies power‐law market impact and rough volatility

Published:2020-03-24 Issue:4 Volume:30 Page:1309-1336
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Jusselin Paul¹,Rosenbaum Mathieu¹^ORCID

Affiliation:

1. École Polytechnique CMAP Palaiseau Cedex France

Funder

H2020 European Research Council

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12254

Reference35 articles.

1. Optimal execution of portfolio transactions

2. Some limit theorems for Hawkes processes and application to financial statistics

3. Market Impacts and the Life Cycle of Investors Orders

4. Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics

5. Hawkes Processes in Finance

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2. Efficient option pricing in the rough Heston model using weak simulation schemes;Quantitative Finance;2024-09-02

3. When to efficiently rebalance a portfolio;Quantitative Finance;2024-07-08

4. Statistical inference for rough volatility: Central limit theorems;The Annals of Applied Probability;2024-06-01

5. Do price trajectory data increase the efficiency of market impact estimation?;Quantitative Finance;2024-05-03

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