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Article dans une revue Journal of Economic Dynamics and Control Année : 2021

A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy

Résumé

We develop a microstructure model whose order flow is driven by a Cox-BESQ process. We derive important analytical properties of the Cox-BESQ process in order to explicit the stock price dynamics at different time scales, provide different parameter estimators and solve the optimal execution problem. We implement the model using a large data set of stock index and bond futures. Our results show that the Cox-BESQ process provides an alternative framework to the Hawkes process to build a microstructure model that is very flexible and has an explicit solution.
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Dates et versions

halshs-03590382, version 1 (13-06-2023)

Licence

Paternité - Pas d'utilisation commerciale - CC BY 4.0

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José da Fonseca, Yannick Malevergne. A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy. Journal of Economic Dynamics and Control, 2021, 128, pp.104137. ⟨10.1016/j.jedc.2021.104137⟩. ⟨halshs-03590382⟩
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