Simon Clinet

Kepler Cheuvreux

Algorithmic Trading Quant, PhD

112 avenue Kleber

Paris, 75016

France

SCHOLARLY PAPERS

3

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242

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (3)

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1.

A Relation between the Efficient, Transaction and Mid Prices: Disentangling Sources of High Frequency Market Microstructure Noise

Number of pages: 28 Posted: 23 Apr 2018
Simon Clinet and Yoann Potiron
Kepler Cheuvreux and Keio University - Faculty of Business and Commerce
Downloads 106 (387,133)
Citation 2

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High Frequency Data; Market Microstructure Noise; Dynamic Roll Model; Efficient Price; Mid Price; Trade Direction

2.

Optimal Trading: A Model Predictive Control Approach

Number of pages: 34 Posted: 05 Nov 2021
Simon Clinet, Jean-François Perreton and Serge Reydellet
Kepler Cheuvreux, Kepler Cheuvreux and Kepler Cheuvreux
Downloads 103 (394,861)

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3.

Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes

Number of pages: 34 Posted: 13 May 2019
Simon Clinet, William Dunsmuir, Gareth Peters, Kylie-Anne Richards and Kylie-Anne Richards
Kepler Cheuvreux, University of New South Wales, University of California Santa Barbara and University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 33 (682,818)
Citation 1

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Marked Hawkes point process, Ergodicity, Quasi likelihood, Score test, Inferential statistics, Local power