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 Introduction

Part I Market and financial assets

Part II Orderbook dynamics

Part III Tick by tick time-series (main slides)

Part IIIbis Hawkes processes theory

Part IV Advanced applications on Hawkes processes

Part V Scale Invariance - Multifractal Models - Rough Volatility - log S-fBm models

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 :

• 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, ...
• I expect 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

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