Données haute fréquence
Analyse et modélisation statistique
multi-échelle de séries chronologiques financières
Cours d'option du Master 2 de Sorbonne Université -
Probabilités et finance
Cours d'option du Master 2 MASEF de Université Paris Dauphine, PSL
Emmanuel Bacry
Slides for the different parts of the course
Introduction : slides
Partie I : Market and financial assets
Partie II : Orderbook dynamics
Partie III : Tick by tick time-series (main slides) , Tick by tick time-series (introduction to Hawkes processes)
Partie IV : Advanced applications on Hawkes processes
Partie V : Scale Invariance - Multifractal Models - Rough Volatility - log S-fBm models (ONLY for Sorbonne University Master)
Registration to the course :
- Send me an email at emmanuel.bacry@cnrs.fr before January 31st to notify your registration
- Indicate in your email your master affiliation (MASEF or Sorbonne University)
Validation of the course :
You should write a report on a paper (to be chosen among the list below or choose your own and send me an email for validation)
- Send me an email before March 25th
- Send me the report before April 15th
- This is an individual work
- The report should be structured in the following way :
- Part I : corresponding to a summary of the paper
- Part II : (more personal) corresponding to your critics (positive/negative), various extensions, ...
- A bibliography (you are encouraged to talk about other papers than the reference paper in Part II)
- (not required) Part II could include numerical experiments on financial time series. If you want some data
send me an email with a clear eplanation of the data you need (time sampling, information, ...), I'll do my best to find some data.
- The complexity of the papers is classified from * to ***. Part II is expected to be richer for "simpler" papers (*) than for "complex" papers
Possible Papers for the report
Autour des modèles ACD/ACM :
- ** - A Discrete-State Continuous-Time Model of Financial Transactions
Prices and Times: The ACM-ACD Model. download
Jeffrey R. Russell and Robert F. Engle, 2004.
- ** - Tracing the Source of Long Memory in Volatility download
Rohit Deo, Mengchen Hsieh, Clifford M. Hurvich, 2005
- * - The Logarithmic ACD Model: An Application to the Bid-Ask Quote
Process of Three NYSE Stocks download
Luc Bauwens, Pierre Giot, 2000
Autour du multiéchelle
*** - From microscopic price dynammics to multidimensional rough volatility models arXiv:1910.13338
Mehdi Thomas, Mathieu Rosenbaum, 2019
Autour du bruit de microstructure
- ** - Microstructure noise, realized volatility, and optimal sampling download
Federico M. Bandi and Jeffrey R. Russell, 2003
- *** - How Often to Sample a Continuous-Time Process in the Presence
of Market Microstructure Noise download
Yacine Ait-Sahalia, Per A. Mykland, Lan Zhang, 2005
- *** - Quadratic Hawkes processes for financial prices arXiv:1509.07710
Pierre Blanc, Jonathan Donier, Jean-Philippe Bouchaud, 2015
- *** - Some limit theorems for Hawkes processes and application to
financial statistics
E. Bacry, S. Delattre, M. Hoffmann, J.F. Muzy, 2013 download
Autour de l'impact de marché
- ** - Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact arXiv:1602.02735v1
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo, Bence Toth , 2015
- ** - Non average price impact in order-driven markets arXiv:2110.00771
Claudio Bellani, Damiano, Brigo, ..., 2022
Autour du carnet d'ordre
- ** - The price impact of orderbook events download
R. Cont, Kukanov, S. Stoikov, 2010
- ** - High-frequency trading in a limit order book download
Marco Avellaneda, Sasha Stoikov, 2006
- ** - Price dynamics in a Markovian limit order market
Rama Cont, Adrien de Larrard, 2010 download
- * - Fluctuations and response in financial markets: the subtle
nature of ‘random’ price changes download
Jean-Philippe Bouchaud, Yuval Gefen, Marc Potters, Matthieu Wyart, 2003
- ** - A Random Order Placement Model of Price Formation in the
Continuous Double Auction download
J. Doyne Farmer, Laszlo Gillemot, Giulia Iori, Supriya Krishnamurthy, D.
Eric Smith, Marcus G. Daniels, 2005
- *** - A Dynamic Model of the Limit Order Book download
Ioanid Rosu, 2003
- ** - Endogenous Liquidity Crises, A.Fosset, J.P.Bouchaud, M.Benzaquen, 2020 (download)
- ** - Universal features of price formation in price formation, J.Sirignano, R.Cont : perspectives from deep learning (download)
- ** - Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events, A.Fosset, J.P.Bouchaud, M.Benzaquen, 2020
(download)
- ** - Multivariate General Compound Point Processes in Limit Order Books, Q.Guo, B.Remillard, A.Swishchuk, 2020
(download)
- ** - LOB modeling using Hawkes processes with a state dependent factor arXiv:2107.12872
Emmanouil Sfendourakis, Ioane Muni Toke, 2021
- *** - Non-parametric estimation of Quadratic Hawxkes processes for orderbook events arXiv:2005.05730
Antoine Fosset, Jean-Philippe Bouchaud, Michael Benzaquen, 2020
- ** - State dependent Hawkes processes and their application to limit order book modelling arXiv:1809.08060
Maxime Morariu Patrichi, Mikko Pakkanen, 2021
Autour de données tick by tick
- ** - Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with
Application to the Toronto Stock Exchange download
Georges Dionne, Pierre Duchesne, Maria Pacurar, 2006
- ** - Modeling -bid and ask price dynamics with an extended Hawkes process arXiv:2201.10173
Kyungsub Lee, Byoung Ki Seo, 2022
- ** - Marked Hawkes process modeling of price dynamics and volatility estimation arXiv:1907.12025
Kyungsub Lee, Byoung Ki Seo, 2017
- ** - On Hawkes processes with infinite mean intensity arXiv:2112.14161
Cecilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud, 2022
Autour du clustering de vol
- * - There’s more to volatility than volume download
Laszlo Gillemot, J. Doyne Farmer and Fabrizio Lillo, 2003