Order Book Queue Hawkes Markovian Modeling (Q6200514)

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scientific article; zbMATH DE number 7822811
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English
Order Book Queue Hawkes Markovian Modeling
scientific article; zbMATH DE number 7822811

    Statements

    title
    Order Book Queue Hawkes Markovian Modeling (English)
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    author
    Philip E. Protter
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    Q6200513
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    Shihao Yang
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    publication date
    22 March 2024
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    zbMATH Keywords
    Hawkes process
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    order book modeling
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    non-parametric estimation
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    model selection
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    Identifiers

    arXiv ID
    2107.09629
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    DOI
    10.1137/22m1470815
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    Mathematics Subject Classification ID
    62P05
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    91G70
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    60G10
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    60J05
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    zbMATH DE Number
    7822811
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    OpenAlex ID
    W3185585067
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