Modelling microstructure noise with mutually exciting point processes

Quantitative Finance

Volumn 13, Issue 1, 2013, Pages 65-77

  Bacry, E ^a   Delattre, S ^b   Hoffmann, M ^c   Muzy, J F ^d  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^b University of Paris VII LPSM partially supported by ERC Starting Grant 680275 MALIG   (France)

^c CREST   (France)

^d UNIVERSITÉ DE CORSE   (France)

Author keywords

Advanced econometrics; Continuous time models; Depth and volatility; Empirical time series analysis; Market microstructure; Mathematical models; Random walks; Stochastic models

Indexed keywords

EID: 84861315065     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2011.647054     Document Type: Article

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