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Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model

  • Published:2016-07-26 Issue:3 Volume:37 Page:260-285
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:

Author:

Da Fonseca José1ORCID,Zaatour Riadh2

Affiliation:

1. José Da Fonseca is Senior Lecturer at Department of Finance; Business School; Auckland University of Technology; Auckland New Zealand

2. Riadh Zaatour is at Chair of Quantitative Finance; Ecole Centrale Paris; Châtenay-Malabry France

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference40 articles.

1. A mathematical approach to order book modeling;Abergel;International Journal of Theoretical and Applied Finance,2013

2. Modeling financial contagion using mutually exciting jump processes;Aït-Sahalia;Journal of Financial Economics,2015

3. Dynamic optimal execution in a mixed-market-impact Hawkes price model;Alfonsi;Finance and Stochastics,2016

4. Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data;Bacry;The European Physical Journal B: Condensed Matter and Complex Systems,2012

5. Modelling microstructure noise with mutually exciting point processes;Bacry;Quantitative Finance,2013a

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