This study provides explicit formulas for the moments and the autocorrelation function of the
number of jumps over a given interval for a self‐excited Hawkes process. These …

This paper provides explicit formulas for the first and second moments and the autocorrelation
function of the number of jumps over a given interval for the multivariate Hawkes process. …

The aim of this paper is to develop a multi‐asset model based on the Hawkes process describing
the evolution of assets at high frequency and to study the lead–lag relationship as well …

We rely on high frequency data to explore the joint dynamics of underlying and option markets.
In particular, high frequency data make observable the realized variance process of the …

Cette thèse explore théoriquement et empiriquement certains aspects de la formation et de l’évolution
des prix des actifs financiers observés en haute fréquence. Nous commençons …

Consistently fitting vanilla option surface is an important issue in derivative modelling. In this
paper, we consider three different models: local and stochastic volatility, local correlation, …

This thesis explores theoretical and empirical aspects of price formation and evolution at
high frequency. We begin with the study of the joint dynamics of an option and its underlying. …

We are interested in a supervised learning method by automatic generation of classification
rules: SUCRAGE. Premises construction is done by grouping the dependant attributes. This …

We revisit the controversial release of FOMC news on September 18th 2013 using the time
stamps generated by the exchanges and included in their raw feed. Our analysis is …