Modelling security market events in continuous time: intensity based, multivariate point process models (Q289187): Difference between revisions
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| Property / author: Clive G. Bowsher / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G55 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M09 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / zbMATH DE Number: 6586835 / rank | |||
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point process | |||
| Property / zbMATH Keywords: point process / rank | |||
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conditional intensity | |||
| Property / zbMATH Keywords: conditional intensity / rank | |||
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Hawkes process | |||
| Property / zbMATH Keywords: Hawkes process / rank | |||
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specification test | |||
| Property / zbMATH Keywords: specification test / rank | |||
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random time change | |||
| Property / zbMATH Keywords: random time change / rank | |||
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transactions data | |||
| Property / zbMATH Keywords: transactions data / rank | |||
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market microstructure | |||
| Property / zbMATH Keywords: market microstructure / rank | |||
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Revision as of 19:22, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling security market events in continuous time: intensity based, multivariate point process models |
scientific article |
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Modelling security market events in continuous time: intensity based, multivariate point process models (English)
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27 May 2016
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point process
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conditional intensity
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Hawkes process
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specification test
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random time change
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transactions data
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market microstructure
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