Disentangling and quantifying market participant volatility contributions

View/ Open
Date
2019Dewey
AnalyseSujet
Volatility; Hawkes process; Agent-based model; High-frequency data; Agent behaviorJEL code
G.G1Journal issue
Quantitative FinanceVolume
19Number
10Publication date
04-2019Article pages
1613-1625Publisher
Taylor & FrancisCollections
Metadata
Show full item recordAuthor
Rambaldi, Marcello
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Bacry, Emmanuel
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Muzy, Jean-François
843 Sciences pour l'environnement [SPE]