PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES (Q4966641): Difference between revisions

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+Dynamic optimal execution in a mixed-market-impact Hawkes price model
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@@ Property / cites work @@
+High-frequency trading in a limit order book
@@ Property / cites work: High-frequency trading in a limit order book / rank @@
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@@ Property / cites work @@
+Modelling microstructure noise with mutually exciting point processes
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@@ Property / cites work @@
+Some limit theorems for Hawkes processes and application to financial statistics
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@@ Property / cites work @@
+Hawkes model for price and trades high-frequency dynamics
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@@ Property / cites work @@
+Optimal Execution with Dynamic Order Flow Imbalance
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+Buy Low, Sell High: A High Frequency Trading Perspective
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+A fully consistent, minimal model for non-linear market impact
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+No-dynamic-arbitrage and market impact
@@ Property / cites work: No-dynamic-arbitrage and market impact / rank @@
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@@ Property / cites work @@
+Spectra of some self-exciting and mutually exciting point processes
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@@ Property / cites work @@
+Price Manipulation and Quasi-Arbitrage
@@ Property / cites work: Price Manipulation and Quasi-Arbitrage / rank @@
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@@ Property / cites work @@
+Q4039796
@@ Property / cites work: Q4039796 / rank @@
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@@ Property / cites work @@
+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
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@@ Property / cites work @@
+THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
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+Statistical theory of the continuous double auction
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@@ Property / cites work @@
+Order book approach to price impact
@@ Property / cites work: Order book approach to price impact / rank @@
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+https://doi.org/10.1017/s1446181119000038
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+W2560379672
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