Modelling systemic price cojumps with Hawkes factor models
Instabilities in the price dynamics of a large number of financial assets are a clear sign of
systemic events. By investigating portfolios of highly liquid stocks, we find that there are a …
systemic events. By investigating portfolios of highly liquid stocks, we find that there are a …
The October 2014 United States Treasury bond flash crash and the contributory effect of mini flash crashes
We investigate the causal uncertainty surrounding the flash crash in the US Treasury bond
market on October 15, 2014, and the unresolved concern that no clear link has been …
market on October 15, 2014, and the unresolved concern that no clear link has been …
Regularities and irregularities in order flow data
We identify and analyze statistical regularities and irregularities in the recent order flow of
different NASDAQ stocks, focusing on the positions where orders are placed in the order …
different NASDAQ stocks, focusing on the positions where orders are placed in the order …
[CITATION][C] 算法交易的兴起及最新研究进展
陈梦根 - 证券市场导报, 2013
[CITATION][C] Volkswirtschaftliche Chancen und Risiken des Hochfrequenzhandels
F Lassen - 2012 - GRIN Verlag