Marcello Rambaldi

Identifiers

• name variant Marcello Rambaldi 0.60 · backfill

Papers (6)

1. Queue-reactive Hawkes models for the order flow q-fin.TR · 2019 · author #2
2. Disentangling and quantifying market participant volatility contributions q-fin.TR · 2018 · author #1
3. Analysis of order book flows using a nonparametric estimation of the branching ratio matrix q-fin.TR · 2017 · author #4
4. Detection of intensity bursts using Hawkes processes: an application to high frequency financial data q-fin.TR · 2016 · author #1
5. The role of volume in order book dynamics: a multivariate Hawkes process analysis q-fin.TR · 2016 · author #1
6. Modeling FX market activity around macroeconomic news: a Hawkes process approach q-fin.TR · 2014 · author #1

Mentions

• 1405.6047 #1 · backfill · confidence 0.70 Marcello Rambaldi

Frequent Coauthors

• Emmanuel Bacry 4 shared papers
• Fabrizio Lillo 3 shared papers
• Jean-Fran\c{c}ois Muzy 3 shared papers
• Massil Achab 1 shared papers
• Paris Pennesi 1 shared papers
• Peng Wu 1 shared papers
• Vladimir Filimonov 1 shared papers