Publications

Below, you can find my list of publications in reversed chronological order.

2024

  1. A Hybrid Algorithm for Computing a Partial Singular Value Decomposition Satisfying a Given Threshold
    James Baglama, Jonathan A Chávez-Casillas, and Vasilije Perović
    Numerical Algorithms, 2024
    DOI arXiv PDF
  2. Patterns in the temporal complexity of global chlorophyll concentration
    Vitul Agarwal, Jonathan A Chávez-Casillas, Keisuke Inomura, and 1 more author
    Nature Communications, 2024
    DOI PDF
  3. A stochastic model for the early stages of highly contagious epidemics by using a state-dependent point process
    Jonathan A Chávez-Casillas
    Communications in Nonlinear Science and Numerical Simulation, 2024
    DOI arXiv PDF
  4. Adaptive Optimal Market-Making Strategies with Inventory Liquidation Costs
    Jonathan A Chávez-Casillas, José E Figueroa-López, Chuyi Yu, and 1 more author
    SIAM Journal of Financial Mathematics, 2024
    DOI PDF

2023

  1. A time-dependent Markovian model of a limit order book
    Jonathan A Chávez-Casillas
    Computational Economics, 2023
    DOI arXiv PDF
  2. Sub-monthly prediction of harmful algal blooms based on automated cell imaging
    Vitul Agarwal, Jonathan A Chávez-Casillas, and Colleen B. Mouw
    Harmful Algae, 2023
    DOI PDF

2019

  1. A level-1 limit order book with time dependent arrival rates
    Jonathan A Chávez-Casillas, Robert J Elliott, Bruno Rémillard, and 1 more author
    Methodology and Computing in Applied Probability, 2019
    DOI arXiv PDF
  2. Compound Hawkes processes in limit order books
    Anatoliy V Swishchuk, Bruno Rémillard, Robert J Elliott, and 1 more author
    In Financial Mathematics, Volatility and Covariance Modelling, 2019
    DOI arXiv PDF

2017

  1. A one-level limit order book model with memory and variable spread
    Jonathan A Chávez-Casillas and José E Figueroa-López
    Stochastic Processes and their Applications, 2017
    DOI arXiv PDF

2015

  1. Discrete stochastic metapopulation model with arbitrarily distributed infectious period
    Nancy Hernandez-Ceron, Jonathan A Chávez-Casillas, and Zhilan Feng
    Mathematical biosciences, 2015
    DOI PDF
  2. Stochastic Modeling Of Limit Order Books: Convergence Of The Price Process, Simulation And Applications
    Jonathan A Chávez-Casillas
    Purdue University, 2015
    Department of Mathematics

2013

  1. Price Dynamics in a Markovian Limit Order Market
    Rama Cont and Adrien Larrard
    SIAM Journal on Financial Mathematics, 2013

2011

  1. A Mathematical Approach to Order Book Modelling
    Frédéric Abergel and Aymen Jedidi
    Springer Milan, 2011