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Vladimir Filimonov

Identifiers

  • name variant Vladimir Filimonov 0.60 · backfill

Papers (11)

  1. Detection of intensity bursts using Hawkes processes: an application to high frequency financial data q-fin.TR · 2016 · author #2
  2. Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles q-fin.ST · 2016 · author #1
  3. Estimation of the Hawkes Process With Renewal Immigration Using the EM Algorithm stat.AP · 2014 · author #2
  4. Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns q-fin.ST · 2014 · author #1
  5. Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data q-fin.ST · 2013 · author #1
  6. Effective Measure of Endogeneity for the Autoregressive Conditional Duration Point Processes via Mapping to the Self-Excited Hawkes Process q-fin.ST · 2013 · author #1
  7. Quantifying reflexivity in financial markets: towards a prediction of flash crashes q-fin.ST · 2012 · author #1
  8. Spurious trend switching phenomena in financial markets q-fin.ST · 2011 · author #1
  9. A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model q-fin.GN · 2011 · author #1
  10. Self-Excited Multifractal Dynamics cond-mat.stat-mech · 2010 · author #1
  11. Homogeneous Volatility Bridge Estimators q-fin.ST · 2009 · author #3

Mentions

  • 1407.7118 #2 · backfill · confidence 0.70 Vladimir Filimonov
  • 1407.5037 #1 · backfill · confidence 0.70 Vladimir Filimonov
  • 1308.6756 #1 · backfill · confidence 0.70 Vladimir Filimonov
  • 1306.2245 #1 · backfill · confidence 0.70 Vladimir Filimonov
  • 1201.3572 #1 · backfill · confidence 0.70 Vladimir Filimonov
  • 1112.3868 #1 · backfill · confidence 0.70 Vladimir Filimonov
  • 1108.0099 #1 · backfill · confidence 0.70 Vladimir Filimonov
  • 1008.1430 #1 · backfill · confidence 0.70 Vladimir Filimonov
  • 0912.1617 #3 · backfill · confidence 0.70 Vladimir Filimonov

Frequent Coauthors