Thibaut Moyaert

Louvain School of Management (UCL)

Belgium

SCHOLARLY PAPERS

5

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Top 19,282

in Total Papers Downloads

2,417

SSRN RANKINGS

Top 13,170

in Total Papers Citations

29

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Scholarly Papers (5)

1.

High-Frequency Trading and Extreme Price Movements

Number of pages: 46 Posted: 28 Nov 2014 Last Revised: 10 Feb 2017
University of Utah - David Eccles School of Business, University of Utah - Department of Finance, Louvain School of Management (UCL), Smith School of Business, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 2,333 (5,429)

Abstract:

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Extreme price movements, jumps, high-frequency trading

2.

The Performance of Popular Stochastic Volatility Option Pricing Models During the Subprime Crisis

Applied Financial Economics, Vol. 21, No. 4, 2011
Number of pages: 21 Posted: 23 Jan 2016
Thibaut Moyaert and Mikael Petitjean
Louvain School of Management (UCL) and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 84 (291,040)

Abstract:

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Heston, stochastic volatility, out-of-sample, delta hedge, forecasting

3.

High Frequency Trading and Price Jumps in the Stock Market

Posted: 23 May 2013
Thibaut Moyaert
Louvain School of Management (UCL)

Abstract:

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Intraday Liquidity, Microstructure, Investor Types, Price Jumps

4.

Detecting and Forecasting High Frequency Price Jumps in the Stock Market

Posted: 01 Mar 2013 Last Revised: 05 Aug 2013
Thibaut Moyaert
Louvain School of Management (UCL)

Abstract:

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Intraday Liquidity, Market Microstructure, Forecasting, Price Jumps

5.

The Information Content of the Amihud Ratio for Intraday Liquidity Forecasting

26th Australasian Finance and Banking Conference 2013
Posted: 17 Aug 2012 Last Revised: 08 Aug 2014
Thibaut Moyaert
Louvain School of Management (UCL)

Abstract:

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Intraday Liquidity, Forecasting, Market Microstructure, GARCH models