Mikko S. Pakkanen 个人学术档案

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	总计	2019 年至今
引用	915	686
h 指数	14	10
i10 指数	18	13

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Asger LundePartner, Copenhagen Economics在 copenhageneconomics.com 的电子邮件经过验证
Mikkel BennedsenAarhus University在 econ.au.dk 的电子邮件经过验证
Swapnil MishraAssistant Professor at National University of Singapore在 nus.edu.sg 的电子邮件经过验证
Samir BhattProfessor of Machine Learning and Public Health University of Copenhagen在 sund.ku.dk 的电子邮件经过验证
Almut VeraartImperial College London在 imperial.ac.uk 的电子邮件经过验证
Bezirgen VeliyevAssociate Professor, Department of Economics, Aarhus University在 econ.au.dk 的电子邮件经过验证
Phillip MurrayImperial College London在 imperial.ac.uk 的电子邮件经过验证
Antoine JacquierImperial College London在 imperial.ac.uk 的电子邮件经过验证
Kim ChristensenAarhus University在 econ.au.dk 的电子邮件经过验证
Jani LukkarinenProfessor of mathematical physics, University of Helsinki在 helsinki.fi 的电子邮件经过验证
Mark PodolskijProfessor of Probability and Statistics, University of Luxembourg在 uni.lu 的电子邮件经过验证
Jose Manuel CorcueraProfesor de Matemáticas Universidad de Barcelona在 ub.edu 的电子邮件经过验证
Hasanjan SayitAssociate Professor of Mathematics, Xi'Jiao-Liverpool University在 xjtlu.edu.cn 的电子邮件经过验证
Matthew J PennDPhil Candidate, University of Oxford在 st-annes.ox.ac.uk 的电子邮件经过验证
Charles WhittakerImperial College London在 imperial.ac.uk 的电子邮件经过验证
Seth Flaxmanassociate professor at Oxford在 cs.ox.ac.uk 的电子邮件经过验证
Jürgen SchmiegelAarhus University在 eng.au.dk 的电子邮件经过验证
Thomas A. MellanProtocol Labs在 protocol.ai 的电子邮件经过验证
Xenia MiscouridouUniversity of Cyprus, Imperial College London在 ucy.ac.cy 的电子邮件经过验证
Lorenzo LucchesePhD student, Imperial College London在 imperial.ac.uk 的电子邮件经过验证

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Mikko S. Pakkanen

Reader in Data Science and Quantitative Finance, Imperial College London

在 imperial.ac.uk 的电子邮件经过验证 - 首页

Quantitative Finance Statistical Finance Probability Theory Data Science


标题按引用次数排序按年份排序按标题排序	引用次数引用次数	年份
Decoupling the short-and long-term behavior of stochastic volatility M Bennedsen, A Lunde, MS Pakkanen Journal of Financial Econometrics 20 (5), 961-1006, 2022	171	2022
Hybrid scheme for Brownian semistationary processes M Bennedsen, A Lunde, MS Pakkanen Finance and Stochastics 21, 931-965, 2017	156	2017
Turbocharging Monte Carlo pricing for the rough Bergomi model R McCrickerd, MS Pakkanen Quantitative Finance 18 (11), 1877-1886, 2018	86	2018
State-dependent Hawkes processes and their application to limit order book modelling M Morariu-Patrichi, MS Pakkanen Quantitative Finance 22 (3), 563-583, 2022	64	2022
Asymptotic theory for Brownian semi-stationary processes with application to turbulence JM Corcuera, E Hedevang, MS Pakkanen, M Podolskij Stochastic processes and their applications 123 (7), 2552-2574, 2013	55	2013
A GMM approach to estimate the roughness of stochastic volatility AE Bolko, K Christensen, MS Pakkanen, B Veliyev Journal of Econometrics 235 (2), 745-778, 2023	50*	2023
Pathwise large deviations for the rough Bergomi model A Jacquier, MS Pakkanen, H Stone Journal of Applied Probability 55 (4), 1078-1092, 2018	49	2018
Stochastic integrals and conditional full support MS Pakkanen Journal of Applied Probability 47 (3), 650-667, 2010	46	2010
Assessing relative volatility/intermittency/energy dissipation OE Barndorff-Nielsen, MS Pakkanen, J Schmiegel Electronic Journal of Statistics 8 (2), 1996-2021, 2014	24	2014
Brownian semistationary processes and conditional full support MS Pakkanen International Journal of Theoretical and Applied Finance 14 (04), 579-586, 2011	23	2011
Limit theorems for power variations of ambit fields driven by white noise MS Pakkanen Stochastic Processes and their Applications, 2014	22	2014
Functional limit theorems for generalized variations of the fractional Brownian sheet MS Pakkanen, A Réveillac Bernoulli 22 (3), 1671-1708, 2016	18	2016
Microfoundations for diffusion price processes MS Pakkanen Mathematics and financial economics 3, 89-114, 2010	17	2010
Deep hedging: Continuous reinforcement learning for hedging of general portfolios across multiple risk aversions P Murray, B Wood, H Buehler, M Wiese, M Pakkanen Proceedings of the Third ACM International Conference on AI in Finance, 361-368, 2022	15	2022
VAE: a stochastic process prior for Bayesian deep learning with MCMC S Mishra, S Flaxman, T Berah, M Pakkanen, H Zhu, S Bhatt Statistics and Computing 32 (96), 1-16, 2022	14*	2022
Discretization of L\'evy semistationary processes with application to estimation M Bennedsen, A Lunde, MS Pakkanen arXiv preprint arXiv:1407.2754, 2014	13	2014
Unifying incidence and prevalence under a time-varying general branching process MS Pakkanen, X Miscouridou, MJ Penn, C Whittaker, T Berah, S Mishra, ... Journal of Mathematical Biology 87 (2), 35, 2023	10*	2023
Hybrid marked point processes: Characterization, existence and uniqueness M Morariu-Patrichi, MS Pakkanen Market Microstructure and Liquidity 4 (03n04), 1950007, 2018	10	2018
Sticky continuous processes have consistent price systems C Bender, MS Pakkanen, H Sayit Journal of Applied Probability 52 (2), 586-594, 2015	9	2015
On the positivity of Riemann–Stieltjes integrals J Lukkarinen, MS Pakkanen Bulletin of the Australian Mathematical Society 87 (3), 400-405, 2013	9	2013

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