Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591)
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scientific article; zbMATH DE number 6915597
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| English | Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data |
scientific article; zbMATH DE number 6915597 |
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Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (English)
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9 August 2018
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stock price dynamics
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tick structure
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Hawkes process
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volatility
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diffusion model
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0.7406505942344666
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0.726701557636261
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0.720806360244751
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0.7193374037742615
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0.7117230296134949
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