Thibault Jaisson
- Rough fractional diffusions as scaling limits of nearly unstable heavy\n tailed Hawkes processes
2015/04/13 by Thibault Jaisson, Jaisson, Thibault, Mathieu Rosenbaum +1 · 4 citations
Biochemistry, Genetics and Molecular Biology · Mathematics · #Diffusion and Search Dynamics #FOS: Economics and business #FOS: Mathematics #Point processes and geometric inequalities #Probability (math.PR) #Statistical Finance (q-fin.ST) #Stochastic processes and statistical mechanics #Trading and Market Microstructure (q-fin.TR)
- Market impact as anticipation of the order flow imbalance
2014/02/06 by Thibault Jaisson, Jaisson, Thibault · 1 citation
Economics, Econometrics and Finance · #91G99 #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Risk and Volatility Modeling #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR)