Modeling bid and ask price dynamics with an extended hawkes process and its empirical applications for high-frequency stock market data
Year of publication: |
2023
|
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Authors: | Lee, Kyungsub ; Seo, Byoung Ki |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 4, p. 1099-1142
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Subject: | bid-ask spread | exchange | Hawkes process | high-frequency trading | stock market | Geld-Brief-Spanne | Bid-ask spread | Aktienmarkt | Stock market | Börsenkurs | Share price | Elektronisches Handelssystem | Electronic trading | Theorie | Theory | Marktmikrostruktur | Market microstructure | Schätzung | Estimation |
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