Hawkes model for price and trades high-frequency dynamics (Q5245453): Difference between revisions
From MaRDI portal
Removed claims |
ReferenceBot (talk | contribs) Changed an Item |
||
| (4 intermediate revisions by 4 users not shown) | |||
| Property / author | |||
| Property / author: Emmanuel Bacry / rank | |||
Normal rank | |||
| Property / author | |||
| Property / author: Jean-François Muzy / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2079544355 / rank | |||
Normal rank | |||
| Property / arXiv ID | |||
| Property / arXiv ID: 1301.1135 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Some limit theorems for Hawkes processes and application to financial statistics / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Modelling microstructure noise with mutually exciting point processes / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: No-dynamic-arbitrage and market impact / rank | |||
Normal rank | |||
Latest revision as of 22:14, 9 July 2024
scientific article; zbMATH DE number 6423500
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hawkes model for price and trades high-frequency dynamics |
scientific article; zbMATH DE number 6423500 |
Statements
Hawkes model for price and trades high-frequency dynamics (English)
0 references
8 April 2015
0 references
market impact
0 references
market microstructure
0 references
point processes
0 references
