Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit (Q2940755)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit |
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Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit (English)
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20 January 2015
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point processes
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Hawkes processes
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limit order book
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microstructure noise
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bid-ask spread
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ergodicity
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scaling limit
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Markov model
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