PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES (Q4966641): Difference between revisions
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scientific article; zbMATH DE number 7073944
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES |
scientific article; zbMATH DE number 7073944 |
Statements
PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES (English)
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27 June 2019
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price-impact function
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limit order books
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execution of large orders
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Hawkes processes
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