Compound hawkes processes in limit order books
Year of publication: |
2019
|
---|---|
Authors: | Sviščuk, Anatolij ; Remillard, Bruno ; Elliott, Robert J. ; Chavez-Casillas, Jonathan |
Published in: |
Financial mathematics, volatility and covariance modelling. - London : Routledge, ISBN 978-1-138-06094-4. - 2019, p. 191-214
|
Subject: | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Theorie | Theory | Marktmikrostruktur | Market microstructure | Geld-Brief-Spanne | Bid-ask spread |
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