Modelling order arrivals at price limits using Hawkes processes
Year of publication: |
November 2016
|
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Authors: | Haghighi, Afshin ; Fallahpour, Saeid ; Eyvazlu, Reza |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 19.2016, p. 267-272
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Subject: | Price limits | Hawkes processes | Order flow | High frequency modelling | Theorie | Theory | Börsenkurs | Share price | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Wertpapierhandel | Securities trading |
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