Hawkes model for price and trades high-frequency dynamics (Q5245453): Difference between revisions

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scientific article; zbMATH DE number 6423500
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English
Hawkes model for price and trades high-frequency dynamics
scientific article; zbMATH DE number 6423500

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    Hawkes model for price and trades high-frequency dynamics (English)
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    8 April 2015
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    market impact
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    market microstructure
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    point processes
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