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Jonathan Chávez Casillas
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Compound Hawkes processes in limit order books
A Swishchuk, B Remillard, R Elliott, J Chavez-Casillas
Financial Mathematics, Volatility and Covariance Modelling, 191-214, 2019
132019
Compound Hawkes processes in limit order books
A Swishchuk, B Remillard, R Elliott, J Chavez-Casillas
Financial Mathematics, Volatility and Covariance Modelling, 191-214, 2019
132019
A level-1 limit order book with time dependent arrival rates
JA Chávez-Casillas, RJ Elliott, B Rémillard, AV Swishchuk
Methodology and Computing in Applied Probability 21, 699-719, 2019
122019
A one-level limit order book model with memory and variable spread
JA Chávez-Casillas, JE Figueroa-López
Stochastic Processes and their Applications 127 (8), 2447-2481, 2017
82017
Sub-monthly prediction of harmful algal blooms based on automated cell imaging
V Agarwal, J Chávez-Casillas, CB Mouw
Harmful Algae 122, 102386, 2023
62023
Discrete stochastic metapopulation model with arbitrarily distributed infectious period
N Hernandez-Ceron, JA Chavez-Casillas, Z Feng
Mathematical biosciences 261, 74-82, 2015
52015
One-level limit order books with sparsity and memory
JA Chávez-Casillas, JE Figueroa-López
arXiv preprint arXiv:1407.5684, 2014
22014
Patterns in the temporal complexity of global chlorophyll concentration
V Agarwal, J Chávez-Casillas, K Inomura, CB Mouw
Nature Communications 15 (1), 1-8, 2024
2024
A time-dependent Markovian model of a limit order book
JA Chávez Casillas
Computational Economics 63 (2), 679-709, 2024
2024
A Stochastic Model for the Early Stages of Highly Contagious Epidemics by using a State-Dependent Point Process
JA Chávez Casillas
arXiv e-prints, arXiv: 2209.08612, 2022
2022
Compound Hawkes Processes in Limit Order
A Swishchuk, B Remillard, R Elliott, J Chavez-Casillas
Update, 2018
2018
Stochastic Modeling of Limit Order Books: Convergence of the Price Process, Simulation and Applications
JA Chavez-Casillas
Purdue University, 2015
2015
Stochastic Modeling of Limit Order Books: Convergence of the Price Process, Simulation and Applications
JA Chavez-Casillas
Purdue University, 2015
2015
Discrete Stochastic Metapopulation Model with Arbitrarily Distributed Infectious Period
NH Ceron, JA Chavez-Casillas, Z Feng
Biomath Communications 1 (1), 2014
2014
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Articles 1–14