Estimating the efficient price from the order flow: A Brownian Cox process approach

Christian Yann Robert (1) , Sylvain Delattre (2) , Mathieu Rosenbaum (2)

1 SAF - Laboratoire de Sciences Actuarielle et Financière
2 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

Domaines: Statistiques [math.ST]; Finance quantitative [q-fin.CP]; Gestion des risques [q-fin.RM]; Econométrie de la finance [q-fin.ST]

Christian Yann Robert, Sylvain Delattre, Mathieu Rosenbaum. Estimating the efficient price from the order flow: A Brownian Cox process approach. Stochastic Processes and their Applications, 2013, 123 (7), pp.2603-2619. ⟨hal-02006747⟩