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Property / author: Didier Sornette / rank
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Property / full work available at URL: https://doi.org/10.1080/14697688.2018.1550266 / rank
 
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Latest revision as of 12:45, 20 July 2024

scientific article; zbMATH DE number 7110471
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English
The endo–exo problem in high frequency financial price fluctuations and rejecting criticality
scientific article; zbMATH DE number 7110471

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    The endo–exo problem in high frequency financial price fluctuations and rejecting criticality (English)
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    26 September 2019
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    Hawkes process
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    econometrics
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    high frequency financial data
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    spurious inference
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    non-stationarity
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    EM algorithm
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