Analyzing order flows in limit order books with ratios of Cox-type intensities
Ioane Muni Toke and Nakahiro Yoshida
| Year of publication: |
2020
|
|---|---|
| Authors: | Toke, Ioane Muni ; Yoshida, Nakahiro |
| Subject: | Cox processes | Hawkes processes | Imbalance | Order book models | Point processes | Ratio models | Spread | Trading signals | Wertpapierhandel | Securities trading | Theorie | Theory | Marktmikrostruktur | Market microstructure | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Geld-Brief-Spanne | Bid-ask spread | Handelsvolumen der Börse | Trading volume |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1637927 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194856