Volume 18; Issue 2

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Quantitative Finance
Volume 18; Issue 2

Quantitative Finance

Volume 18; Issue 2

1

Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market

Schneider, M., Lillo, F., Pelizzon, L.

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 1.26 MB

english, 2018

2

Collective synchronization and high frequency systemic instabilities in financial markets

Calcagnile, Lucio Maria, Bormetti, Giacomo, Treccani, Michele, Marmi, Stefano, Lillo, Fabrizio

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 1.25 MB

english, 2018

3

High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration

Lu, Xiaofei, Abergel, Frédéric

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 1.18 MB

english, 2018

4

Transform analysis for Hawkes processes with applications in dark pool trading

Gao, Xuefeng, Zhou, Xiang, Zhu, Lingjiong

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 1.03 MB

english, 2018

5

Constant proportion portfolio insurance strategies in contagious markets

Buccioli, Alice, Kokholm, Thomas

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 845 KB

english, 2018

6

Editors’ foreword

Chen, Maggie, Hawkes, Alan, Khashanah, Khaldoun, McMillan, David, Rosenbaum, Mathieu, Scalas, Enrico, Yang, Steve

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 356 KB

english, 2018

7

The Economy: Economics for a Changing World

Rebonato, Riccardo

Journal:

Quantitative Finance

Year:

2018

Language:

english

File:

PDF, 510 KB

english, 2018

8

Calendar

Journal:

Quantitative Finance

Year:

2018

File:

PDF, 243 KB

2018