Search Results for author: Antoine Fosset

Found 4 papers, 0 papers with code

Towards mapping the contemporary art world with ArtLM: an art-specific NLP model

no code implementations14 Dec 2022 Qinkai Chen, Mohamed El-Mennaoui, Antoine Fosset, Amine Rebei, Haoyang Cao, Philine Bouscasse, Christy Eóin O'Beirne, Sasha Shevchenko, Mathieu Rosenbaum

With an increasing amount of data in the art world, discovering artists and artworks suitable to collectors' tastes becomes a challenge.

Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events

no code implementations12 May 2020 Antoine Fosset, Jean-Philippe Bouchaud, Michael Benzaquen

We find that the Zumbach kernel is a power-law of time, as are all other feedback kernels.

Endogenous Liquidity Crises

no code implementations1 Dec 2019 Antoine Fosset, Jean-Philippe Bouchaud, Michael Benzaquen

Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes.

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