Order Book Queue Hawkes Markovian Modeling (Q6200514): Difference between revisions

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-.1137/22m1470815
@@ Property / DOI: 10.1137/22m1470815 / rank @@
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+W3185585067
@@ Property / OpenAlex ID: W3185585067 / rank @@
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@@ Property / cites work @@
+Long-Time Behavior of a Hawkes Process--Based Limit Order Book
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+Modelling microstructure noise with mutually exciting point processes
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+Some limit theorems for Hawkes processes and application to financial statistics
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+Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
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+Hawkes model for price and trades high-frequency dynamics
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+Quadratic Hawkes processes for financial prices
@@ Property / cites work: Quadratic Hawkes processes for financial prices / rank @@
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+Modelling security market events in continuous time: intensity based, multivariate point process models
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+Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
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+Spectra of some self-exciting and mutually exciting point processes
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+A cluster process representation of a self-exciting process
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+Simulating and Analyzing Order Book Data: The Queue-Reactive Model
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+Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework
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+Limit theorems for nearly unstable Hawkes processes
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+An estimation procedure for the Hawkes process
@@ Property / cites work: An estimation procedure for the Hawkes process / rank @@
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+A nonparametric estimation procedure for the Hawkes process: comparison with maximum likelihood estimation
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+The limits of statistical significance of Hawkes processes fitted to financial data
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+Q4864293
@@ Property / cites work: Q4864293 / rank @@
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@@ Property / DOI @@
+.1137/22M1470815
@@ Property / DOI: 10.1137/22M1470815 / rank @@
+Normal rank