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Jonathan Chávez Casillas
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
192019
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
Sub-monthly prediction of harmful algal blooms based on automated cell imaging
V Agarwal, J Chávez-Casillas, CB Mouw
Harmful Algae 122, 102386, 2023
102023
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
92017
Discrete stochastic metapopulation model with arbitrarily distributed infectious period
N Hernandez-Ceron, JA Chavez-Casillas, Z Feng
Mathematical biosciences 261, 74-82, 2015
52015
Patterns in the temporal complexity of global chlorophyll concentration
V Agarwal, J Chávez-Casillas, K Inomura, CB Mouw
Nature Communications 15 (1), 1522, 2024
22024
One-level limit order books with sparsity and memory
JA Chávez-Casillas, JE Figueroa-López
arXiv preprint arXiv:1407.5684, 2014
22014
Adaptive optimal market making strategies with inventory liquidation cost
J Chávez-Casillas, JE Figueroa-López, C Yu, Y Zhang
SIAM Journal on Financial Mathematics 15 (3), 653-699, 2024
12024
A stochastic model for the early stages of highly contagious epidemics by using a state-dependent point process
JA Chávez Casillas
Communications in Nonlinear Science and Numerical Simulations 136, 108100, 2024
2024
A hybrid algorithm for computing a partial singular value decomposition satisfying a given threshold
J Baglama, JA Chávez-Casillas, V Perović
Numerical Algorithms, 1-17, 2024
2024
A time-dependent Markovian model of a limit order book
JA Chávez Casillas
Computational Economics 63 (2), 679-709, 2024
2024
Compound Hawkes Processes in Limit Order
A Swishchuk, B Remillard, R Elliott, J Chavez-Casillas
2018
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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