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The fine structure of volatility feedback II: overnight and intra-day effectsPhysica A: Statistical Mechanics and its Applications, 2014, 402, pp.58-75. ⟨10.1016/j.physa.2014.01.047⟩
Journal articles
hal-01010333v1
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Extension and calibration of a Hawkes-based optimal execution modelMarket microstructure and liquidity, 2016, ⟨10.1142/S2382626616500052⟩
Journal articles
hal-01169686v1
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Effets de rétroaction en finance : applications à l'exécution optimaleet aux modèles de volatilitéMathématiques générales [math.GM]. Université Paris-Est, 2015. Français. ⟨NNT : 2015PESC1110⟩
Theses
tel-01271331v1
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Dynamic optimal execution in a mixed-market-impact Hawkes price modelFinance and Stochastics, 2016, ⟨10.1007/s00780-015-0282-y⟩
Journal articles
hal-00971369v2
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