S
Sylvain Delattre
Researcher at Paris Diderot University
Publications - 52
Citations - 1460
Sylvain Delattre is an academic researcher from Paris Diderot University. The author has contributed to research in topics: False discovery rate & Epps effect. The author has an hindex of 18, co-authored 52 publications receiving 1277 citations. Previous affiliations of Sylvain Delattre include Pacific Maritime Association & University of Paris.
Papers
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Modelling microstructure noise with mutually exciting point processes
TL;DR: In this paper, the authors introduce a new stochastic model for the variations of asset prices at the tick-by-tick level in dimension 1 and 2 for a single asset and a pair of assets.
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Some limit theorems for Hawkes processes and application to financial statistics
TL;DR: In this article, a functional central limit theorem was proved for multivariate Hawkes processes observed over a time interval [ 0, T ] when T?? is a discrete scheme with mesh? over [ 0, T ] up to some further time shift.
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A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
Sylvain Delattre,Jean Jacod +1 more
TL;DR: In this paper, the central limit theorem for the local uniform topology of a one-dimensional diffusion process was proved for the case when the diffusion process is observed at times i /n and is subject to rounding off at some level α n which is "small" but not "very small".
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Hawkes processes on large networks
TL;DR: In this paper, the authors generalize the construction of multivariate Hawkes processes to a possibly infinite network of counting processes on a directed graph G. The process is constructed as the solution to a system of Poisson driven stochastic differential equations, for which they prove pathwise existence and uniqueness under some reasonable conditions.
Posted Content
Scaling limits for Hawkes processes and application to financial statistics
TL;DR: In this paper, a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval $[0,T]$ in the limit $T \rightarrow \infty were proved.