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Modelling microstructure noise with mutually exciting point processes

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https://hal.archives-ouvertes.fr/hal-01313995
Contributor : Jean-François Muzy <>
Submitted on : Tuesday, May 10, 2016 - 4:46:21 PM
Last modification on : Friday, March 27, 2020 - 3:07:33 AM

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  • HAL Id : hal-01313995, version 1

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Emmanuel Bacry, Sylvain Delattre, Marc Hoffmann, Jean-François Muzy. Modelling microstructure noise with mutually exciting point processes. Quantitative Finance, Taylor & Francis (Routledge), 2013, 13 (1), pp.65-77. ⟨hal-01313995⟩

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