Modelling of limit order books by general compound Hawkes processes with implementations (Q2241518)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling of limit order books by general compound Hawkes processes with implementations |
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Modelling of limit order books by general compound Hawkes processes with implementations (English)
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9 November 2021
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general compound Hawkes processes
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regime-switching general compound Hawkes processes
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limit order books
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diffusion limits
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law of large numbers
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functional central limit theorem
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LOBster and Cisco data
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