Classification of flash crashes using the Hawkes(p,q) framework
Alexander Wehrli and Didier Sornette
| Year of publication: |
2022
|
|---|---|
| Authors: | Wehrli, Alexander ; Sornette, Didier |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 2, p. 213-240
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| Subject: | ARMA point process | EM algorithm | Flash crash | Hawkes process | High frequency financial data | Market microstructure | Time-varying parameters | Finanzmarkt | Financial market | Marktmikrostruktur | Finanzkrise | Financial crisis | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Wertpapierhandel | Securities trading | Elektronisches Handelssystem | Electronic trading | Theorie | Theory | Algorithmus | Algorithm | Stochastischer Prozess | Stochastic process |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1941212 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013167733