High-dimensional Hawkes processes for limit order books : modelling, empirical analysis and numerical calibration
Year of publication: |
February 2018
|
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Authors: | Lu, Xiaofei ; Abergel, Frédéric |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 2, p. 249-264
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Subject: | Hawkes processes | Limit order books | High-frequency data | Non-convex optimization | Theorie | Theory | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Marktmikrostruktur | Market microstructure | Stochastischer Prozess | Stochastic process | Geld-Brief-Spanne | Bid-ask spread |
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