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Persistent link: https://www.econbiz.de/10014304348
We develop a data-driven approach for options market making. Using stock options data from CBOE, we find that both buy and sell orders exhibit strong self-excitation but insignificant cross-excitation. We show that a Hawkes process with a time-varying baseline intensity and the power law kernel...
Persistent link: https://www.econbiz.de/10013292056