Saad Labyad

affiliation not provided to SSRN

SCHOLARLY PAPERS

2

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“  My current research interests lie in point processes and their applications to study high frequency financial data.  ”

Scholarly Papers (2)

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1.

Statistical Predictions of Trading Strategies in Electronic Markets

Forthcoming in Journal of Financial Econometrics
Number of pages: 60 Posted: 12 May 2023 Last Revised: 21 Sep 2024
Álvaro Cartea, Samuel N. Cohen, Rob Graumans, Saad Labyad, Leandro Sánchez-Betancourt and Leon van Veldhuijzen
University of Oxford, University of Oxford - Mathematical Institute, University of Oxford - Oxford-Man Institute of Quantitative Finance, affiliation not provided to SSRN, Mathematical Institute, University of Oxford and Autoriteit Financiële Markten (AFM)
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agent-based models, algorithmic trading, limit order book, supervision, statistical prediction

2.

Gradient-based estimation of linear Hawkes processes with general kernels

Number of pages: 51 Posted: 23 Nov 2021
Álvaro Cartea, Samuel N. Cohen and Saad Labyad
University of Oxford, University of Oxford - Mathematical Institute and affiliation not provided to SSRN
Downloads 462 (131,363)

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Hawkes processes, stochastic gradient descent, point processes, Monte Carlo methods, adaptive stratified sampling.