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Author

Simon Clinet

Observed names: CLINET, Simon, Clinet, Simon
Institution: Keio University
OpenAlex ID: A5017581352
Statistical inference for ergodic point processes and application to Limit Order Book
2016 · Simon Clinet, Nakahiro Yoshida · Stochastic Processes and their Applications · 42
Estimation for high-frequency data under parametric market microstructure noise
2020 · Simon Clinet, Yoann Potiron · Annals of the Institute of Statistical Mathematics · 27
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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
2019 · Simon Clinet, Yoann Potiron · Journal of Econometrics · 22
Statistical inference for the doubly stochastic self-exciting process
2018 · Simon Clinet, Yoann Potiron · Bernoulli · 18
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Efficient asymptotic variance reduction when estimating volatility in high frequency data
2018 · Simon Clinet, Yoann Potiron · Journal of Econometrics · 17
Disentangling Sources of High Frequency Market Microstructure Noise
2019 · Simon Clinet, Yoann Potiron · Journal of Business and Economic Statistics · 16
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Asymptotic distribution of the score test for detecting marks in hawkes processes
2021 · Simon Clinet, William T. M. Dunsmuir, et al. · Statistical Inference for Stochastic Processes · 5
Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes
2021 · Simon Clinet · Statistical Inference for Stochastic Processes · 4
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A Relation between the Efficient, Transaction and Mid Prices: Disentangling Sources of High Frequency Market Microstructure Noise
2018 · Simon Clinet, Yoann Potiron · SSRN Electronic Journal · 3
Cointegration in high frequency data
2021 · Simon Clinet, Yoann Potiron · Electronic Journal of Statistics · 2
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Statistical Inference for Ergodic Point Processes and Limit Order Book
2015 · Simon Clinet, Nakahiro Yoshida · arXiv (Cornell University) · 2
Testing if the market microstructure noise is a function of the limit order book
2017 · Simon Clinet, Yoann Potiron · arXiv (Cornell University) · 1
Efficient asymptotic variance reduction when estimating volatility in high frequency data
2017 · Clinet, Simon, Potiron, Yoann · RePEc: Research Papers in Economics · 1
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Estimating the Integrated Parameter of the Time-Varying Parameter Self-Exciting Process
2016 · Simon Clinet, Yoann Potiron · arXiv (Cornell University) · 1
Optimal Trading: A Model Predictive Control Approach
2021 · Simon Clinet, Jean-François Perreton, et al. · SSRN Electronic Journal
Sources of the market microstructure noise : an empirical analysis.
2018 · クリネ, シモン, Clinet, Simon · KeiO Associated Repository of Academic Resources (Keio University)
Statistical inference for point processes and its applications to Limit Order Book
2017 · CLINET, Simon · Institutional Repositories DataBase (IRDB)
PDF
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
2017 · Clinet, Simon, Potiron, Yoann · RePEc: Research Papers in Economics
PDF
Statistical inference for the doubly stochastic self-exciting process
2016 · Clinet, Simon, Potiron, Yoann · RePEc: Research Papers in Economics
PDF
Sources of the market microstructure noise : an empirical analysis.
· Clinet, Simon · Institutional Repositories DataBase (IRDB)
PDF
Works count: 21
Citation count: 161
H-index: 6
I10-index: 6
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