Thibault Jaisson

Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes

Mathieu Rosenbaum, M. Rosenbaum, Thibault Jaisson, 2015, 1504.03100.

Limit theorems for nearly unstable Hawkes processes

Mathieu Rosenbaum, M. Rosenbaum, Thibault Jaisson, 2013, 1310.2033.

Market impact as anticipation of the order flow imbalance

Thibault Jaisson, Thibault Jaisson, 2014, 1402.1288.