Pages that link to "Item:Q4554209"
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The following pages link to Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (Q4554209):
Displayed 24 items.
- The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
- Nonparametric Bayesian estimation for multivariate Hawkes processes (Q2215756) (← links)
- Optimal liquidation problem in illiquid markets (Q2242363) (← links)
- Optimal market-making strategies under synchronised order arrivals with deep neural networks (Q2246653) (← links)
- Analysis of order book flows using a non-parametric estimation of the branching ratio matrix (Q4554417) (← links)
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421) (← links)
- Linear models for the impact of order flow on prices. I. History dependent impact models (Q4554471) (← links)
- The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121) (← links)
- (Q4558519) (← links)
- (Q4558550) (← links)
- Optimal Decisions in a Time Priority Queue (Q4559471) (← links)
- Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes (Q5014205) (← links)
- The SINC way: a fast and accurate approach to Fourier pricing (Q5072903) (← links)
- State-dependent Hawkes processes and their application to limit order book modelling (Q5072914) (← links)
- An ephemerally self-exciting point process (Q5084789) (← links)
- (Q5093432) (← links)
- Optimal Market Making with Persistent Order Flow (Q5162846) (← links)
- The endo–exo problem in high frequency financial price fluctuations and rejecting criticality (Q5234347) (← links)
- Disentangling and quantifying market participant volatility contributions (Q5235452) (← links)
- The characteristic function of rough Heston models (Q5743116) (← links)
- Analysis of order book dynamics in the Japanese stock market using the Queue-Reactive Hawkes process (Q5857175) (← links)
- Multivariate quadratic Hawkes processes—part I: theoretical analysis (Q6158435) (← links)
- A data-driven deep learning approach for options market making (Q6158439) (← links)
- Order Book Queue Hawkes Markovian Modeling (Q6200514) (← links)