Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit (Q2940755)
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scientific article; zbMATH DE number 6388320
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| English | Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit |
scientific article; zbMATH DE number 6388320 |
Statements
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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0.8215605616569519
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0.7954186797142029
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0.7868509888648987
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0.7858555316925049
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0.7850003242492676
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