Aït-Sahalia, Y. ; Cacho-Diaz, J. ; Laeven, R.J. Modeling financial contagion using mutually exciting jump processes. 2015 J. financ. econ.. 117 585-606
Avellaneda, M. ; Stoikov, S. High-frequency trading in a limit order book. 2008 Quantitative Finance. 8 217-224
- Bacry, E. ; Dayri, K. ; Muzy, J.-F. Non-parametric kernel estimation for symmetric hawkes processes. application to high frequency financial data. 2012 The European Physical Journal B. 85 157-
Paper not yet in RePEc: Add citation now
Bacry, E. ; Jaisson, T. ; Muzy, J.-F. Estimation of slowly decreasing hawkes kernels: application to high-frequency order book dynamics. 2016 Quantitative Finance. 16 1179-1201
Bacry, E. ; Muzy, J.-F. Hawkes model for price and trades high-frequency dynamics. 2014 Quantitative Finance. 14 1147-1166
- Baesens, B. ; Setiono, R. ; Mues, C. ; Vanthienen, J. Solving high-dimensional partial differential equations using deep learning. 2003 Manage. Sci.. 46 312-329
Paper not yet in RePEc: Add citation now
Baillie, R. ; Bollerslev, T. The message in daily exchange rates: aconditional-variance tale. 1989 Journal of Business & Economic Statistics. 7 197-305
- Berg, J. ; Nystrom, K. A unified deep artificial neural network approach to partial differential equations in complex geometries. 2018 Neurocomputing. 317 28-41
Paper not yet in RePEc: Add citation now
Bowsher, C.-G. Modelling security market events in continuous time: intensity based, multivariate point process models. 2007 J. Econom.. 141 876-912
Cartea, A. ; Jaimungal, S. Modelling asset prices for algorithmic and high-frequency trading. 2013 Appl Math Fin. 20 512-547
- Cartea, A. ; Jaimungal, S. ; Ricci, J. Buy low, sell high: a high frequency trading perspective. 2014 SIAM Journal on Financial Mathematics. 60 415-444
Paper not yet in RePEc: Add citation now
Cerchi, M. ; Havenner, A. Cointegration and stock prices: the random walk and wall street revisited. 1988 Journal of Economic Dynamics and Control. 12 333-346
Chiu, M.C. ; Wong, H.Y. ; Zhao, J. Commodity derivatives pricing with cointegration and stochastic covariances. 2015 Eur. J. Oper. Res.. 246 476-486
- Czarnecki, W. ; Osindero, S. ; Jaderberg, M. ; Swirszcz, G. ; Pascanu, R. Sobolev training for neural networks. 2017 Adv. Neural Inf. Process. Syst.. 4281-4290
Paper not yet in RePEc: Add citation now
Da Fonseca, J. ; Zaatour, R. Hawkes process: fast calibration, application to trade clustering, and diffusive limit. 2014 Journal of Futures Market. 34 548-579
Danielsson, J. ; Shin, H.S. ; Zigrand, J.-P. Endogenous and Systemic Risk. 2012 University of Chicago Press:
De Spiegeleer, J. ; Madan, D. ; Reyners, S. ; Schoutens, W. Machine learning for quantitative finance: fast derivatives pricing, hedging and fitting. 2018 Quantitative Finance. 18 1635-1643
- Dixon, M. ; Klabjan, D. ; Bang, J. Classification-based financial markets prediction using deep neural networks. 2019 Working paper. -
Paper not yet in RePEc: Add citation now
Duan, J.-C. ; Pliska, S. Option valuation with co-integrated asset prices. 2004 Journal of Economic Dynamics & Control. 28 727-754
Engle, R.F. ; Granger, C.W.J. Co-integration and error correction: representation, estimation, and testing. 1987 Econometrica: journal of the Econometric Society. 251-276
Filimonov, V. ; Sornette, D. Quantifying reflexivity in financial markets: toward a prediction of flash crashes. 2012 Physical Review E. 85 56108-
Fitzpatrick, T. ; Mues, C. An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market. 2016 Eur. J. Oper. Res.. 249 427-439
- Fletcher, R. Practical methods of optimization. 1987 Wiley:
Paper not yet in RePEc: Add citation now
Fujii, M. ; Takahashi, A. ; Takahashi, M. Asymptotic expansion as prior knowledge in deep learning method for high dimensional bsdes. 2019 Asia-Pacific Financial Markets. 26 391-408
- Gerig, A. High-frequency trading synchronizes prices in financial markets. 2015 US Securities and Exchange Commission:
Paper not yet in RePEc: Add citation now
- Gramacy, R. ; Ludkovski, M. Sequential design for optimal stopping problems. 2015 SIAM Journal of Financial Mathematics. 6 -
Paper not yet in RePEc: Add citation now
Granger, C.W.J. Some properties of time series data and their use in econometric model specification. 1981 J. Econom.. 16 121-130
Gueant, O. ; Lehalle, C.-A. ; Fernandez-Tapia, J. Dealing with the inventory risk: a solution to the market making problem. 2013 Math Finan Econ. 8 477-507
Guilbaud, F. ; Pham, H. Optimal high-frequency trading with limit and market orders. 2013 Quantitative Finance. 13 79-94
- Guo, X. ; Larrard, A. ; Ruan, Z. Optimal placement in a limit order book: an analytical approach. 2017 Math Finan Econ. 11 189-213
Paper not yet in RePEc: Add citation now
Ha, S.-Y. ; Kim, K.-K. ; Lee, K. A mathematical model for multi-name credit based on community flocking. 2015 Quantitative Finance. 15 841-851
- Han, J. ; Jentzen, A. ; E, W. Solving high-dimensional partial differential equations using deep learning. 2018 PNAS. 115 8505-8510
Paper not yet in RePEc: Add citation now
Hardiman, S.J. ; Bercot, N. ; Bouchaud, J.-P. Critical reflexivity in financial markets: a hawkes process analysis. 2013 The European Physical Journal B. 86 442-
- Hawkes, A.G. Point spectra of some mutually exciting point processes. 1971 Journal of the Royal Statistical Society. Series B (Methodological). 33 438-443
Paper not yet in RePEc: Add citation now
- Hawkes, A.G. ; Oakes, D. A cluster process representation of a self-exciting process. 1974 J Appl Probab. 11 493-503
Paper not yet in RePEc: Add citation now
Henningsen, A. ; Toomet, O. Maxlik: a package for maximum likelihood estimation in r. 2011 Comput. Stat.. 26 443-458
Ho, T. ; Stoll, H.R. Optimal dealer pricing under transactions and return uncertainty. 1981 J. financ. econ.. 9 47-73
- Hornik, K. Approximation capabilities of multilayer feedforward networks. 1991 Neural Networks. 4 251-257
Paper not yet in RePEc: Add citation now
- Hornik, K. ; Stinchcombe, M. ; White, H. Multilayer feedforward networks are universal approximators. 1989 Neural Networks. 2 359-366
Paper not yet in RePEc: Add citation now
Huepe, C. ; Aldana, M. New tools for characterizing swarming systems: acomparison of minimal models. 2008 Physic A: Statistical Mechanics and its Applications. 387 2809-2822
Hutchinson, J. ; Lo, A. ; Possio, T. A nonparametric approach to pricing and hedging derivative securities via learning networks. 1994 Journal of Finance. 49 851-889
Jang, H. ; Lee, K. ; Lee, K. Systemic risk in market microstructure of crude oil and gasoline futures prices: a hawkes flocking model approach. 2020 Journal of Futures Markets. 40 247-275
Kellard, N. ; Dunis, C. ; Sarantis, N. Foreign exchange, fractional cointegration and the implied–realized volatility relation. 2010 Journal of Banking & Finance. 34 882-891
Khandani, A. ; Kim, A. ; Lo, A. Consumer credit-risk models via machine-learning algorithms. 2010 Int. J. Forecast.. 34 2767-2787
- Kruskal, W. ; Wallis, W. Use of ranks in one-criterion variance analysis. 1952 J. Am. Stat. Assoc.. 47 538-621
Paper not yet in RePEc: Add citation now
Large, J. Measuring the resiliency of an electronic limit order book. 2007 Journal of Financial Market. 10 1-25
Lee, C.M.C. ; Ready, M.J. Inferring trade direction from intraday data. 1991 J. Finance.. 46 733-746
Lee, K. ; Seo, B.-K. Modeling microstructure price dynamics with symmetric hawkes and diffusion model using ultra-high-frequency stock data. 2017 Journal of Economic Dynamics and Control. 79 154-183
Loterman, G. ; Brown, I. ; Martens, D. ; Mues, C. ; Baesens, B. Benchmarking regression algorithms for loss given default modeling. 2012 Int. J. Forecast.. 28 161-170
- Lu, X. ; Abergel, F. High dimensional hawkes processes for limit order books. 2018 Quantitative Finance. 18 249-264
Paper not yet in RePEc: Add citation now
- Matthias, K. ; Diepold, K. Sobolev Training with Approximated Derivatives for Black-box Function Regression with Neural Networks. 2019 :
Paper not yet in RePEc: Add citation now
- Miller, R.-S. ; Shorter, G. High frequency trading: overview of recent developments. 2016 Congressional Research Service. -
Paper not yet in RePEc: Add citation now
Ng, V.K. ; Pirrong, S.C. Fundamentals and volatility: storage, spreads, and the dynamics of metals prices. 1994 The Journal of Business. 67 203-230
- Ogata, Y. The asymptotic behaviour of maximum likelihood estimators for stationary point processes. 1978 Ann. Inst. Stat. Math.. 30 243-261
Paper not yet in RePEc: Add citation now
Rauch, E.M. ; Millonas, M.M. ; Chialvo, D.R. Pattern formation and functionality in swarm models. 1995 Phys. Lett. A. 207 185-193
- Reynolds, C.W. Flocks, herds and schools: a distributed behavioral model. 1987 ACM SIGGRAPH Computer Graphics. 21 25-34
Paper not yet in RePEc: Add citation now
Rosu, I. A dynamic model of the limit order book. 2009 Rev. Financ. Stud.. 22 4601-4641
- SEC, Concept Release on Equity Market Structure. 2010 :
Paper not yet in RePEc: Add citation now
- SEC, Equity market structure literature review part ii: High frequency trading. 2014 :
Paper not yet in RePEc: Add citation now
Sirignano, J. Deep learning for limit order books. 2019 Quantitative Finance. 19 549-570
Sirignano, J. ; Spiliopoulos, K. DGM: A deep learning algorithm for solving partial differential equations. 2018 J. Comput. Phys.. 375 1339-1364
Veraart, L.A.M. Optimal market making in the foreign exchange market. 2010 Appl Math Fin. 17 359-372
- Weinan, E. ; Han, J. ; Jentzen, A. Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations. 2017 Commun. Math. Stat.. 5 349-380
Paper not yet in RePEc: Add citation now