Pietro Fodra

Université Paris VII Denis Diderot

2, place Jussieu

Paris, 75005

France

SCHOLARLY PAPERS

2

DOWNLOADS

428

CITATIONS

7

Scholarly Papers (2)

1.

Semi Markov Model for Market Microstructure

Number of pages: 25 Posted: 06 May 2013
Pietro Fodra and Huyên Pham
Université Paris VII Denis Diderot and Université Paris VII Denis Diderot
Downloads 224 (135,579)
Citation 5

Abstract:

Loading...

Microstructure noise, High-frequency data, Markov renewal process, Signature plot, Scaling limit

2.

High Frequency Trading in a Markov Renewal Model

Number of pages: 26 Posted: 01 Oct 2013 Last Revised: 02 Oct 2013
Pietro Fodra and Huyên Pham
Université Paris VII Denis Diderot and Université Paris VII Denis Diderot
Downloads 204 (148,197)
Citation 3

Abstract:

Loading...

High frequency trading – Markov renewal process, Marked Cox process, adverse selection, integro-ordinary differential equation