Quadratic Hawkes processes for financial prices (Q4555068)

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scientific article; zbMATH DE number 6981185
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Quadratic Hawkes processes for financial prices
scientific article; zbMATH DE number 6981185

    Statements

    title
    Quadratic Hawkes processes for financial prices (English)
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    author
    Pierre Blanc
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    J. Donier
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    Jean-Philippe Bouchaud
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    publication date
    19 November 2018
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    zbMATH Keywords
    market microstructure
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    Hawkes processes
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    financial prices
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    volatility modelling
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    time-reversal asymmetry
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    Pearsons diffusion
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    high-frequency trading
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    cites work
    Q2863164
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    Q2774021
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    Quadratic ARCH Models
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    Identifiers

    zbMATH DE Number
    6981185
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    OpenAlex ID
    W2141361079
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    arXiv ID
    1509.07710
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