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Modelling intensities of order flows in a limit order bookQuantitative Finance, 2017, 17 (5), pp.683 - 701. ⟨10.1080/14697688.2016.1236210⟩
Journal articles
hal-01705080v1
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Marked point processes and intensity ratios for limit order book modelingJapanese Journal of Statistics and Data Science , 2022, ⟨10.1007/s42081-021-00137-9⟩
Journal articles
hal-02465428v1
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Analyzing order flows in limit order books with ratios of Cox-type intensitiesQuantitative Finance, 2020, 20 (1), pp.81-98. ⟨10.1080/14697688.2019.1637927⟩
Journal articles
hal-01799398v3
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