Iacopo Mastromatteo
- Hawkes processes in finance
2015/02/16 by Emmanuel Bacry, Iacopo Mastromatteo, Bacry, Emmanuel +3 · 20 citations
Mathematics · #Point processes and geometric inequalities
- Uncovering Causality from Multivariate Hawkes Integrated Cumulants
2016/07/21 by Massil Achab, Emmanuel Bacry, Achab, Massil +7 · 3 citations
Biochemistry, Genetics and Molecular Biology · Computer Science · Mathematics · #Bayesian Methods and Mixture Models #Diffusion and Search Dynamics #FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Point processes and geometric inequalities
- The Cost of Misspecifying Price Impact
2023/06/01 by Natascha Hey, Jean‐Philippe Bouchaud, Hey, Natascha +7 · 1 citation
Economics, Econometrics and Finance · #FOS: Economics and business #Financial Markets and Investment Strategies #Market Dynamics and Volatility #Monetary Policy and Economic Impact #Trading and Market Microstructure (q-fin.TR)
- Excess Out-of-Sample Risk and Fleeting Modes
2022/05/02 by Jean‐Philippe Bouchaud, Bouchaud, Jean-Philippe, Iacopo Mastromatteo +5 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling