Modelling microstructure noise with mutually exciting point processes (Q5746743)
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scientific article; zbMATH DE number 6256460
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling microstructure noise with mutually exciting point processes |
scientific article; zbMATH DE number 6256460 |
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Modelling microstructure noise with mutually exciting point processes (English)
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8 February 2014
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market microstructure
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advanced econometrics
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continuous-time models
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depth
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volatility
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random walks
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stochastic models
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empirical time series analysis
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