Simon Clinet

Keio University - Faculty of Economics

2-15-45 Mita, Minato-ku

Tokyo 1088345

Japan

SCHOLARLY PAPERS

2

DOWNLOADS

93

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

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
Keio University - Faculty of Economics and Keio University - Faculty of Business and Commerce
Downloads 80 (332,247)
Citation 2

Abstract:

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

2.

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

Number of pages: 34 Posted: 13 May 2019
Keio University - Faculty of Economics, University of New South Wales, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and University of Technology Sydney (UTS) - UTS Business School
Downloads 13 (613,236)
Citation 1

Abstract:

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