Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (Q4554209)
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scientific article; zbMATH DE number 6976810
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| English | Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics |
scientific article; zbMATH DE number 6976810 |
Statements
Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (English)
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13 November 2018
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Hawkes processes
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kernel estimations
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power law kernels
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high-frequency
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order book dynamics
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trades
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limit orders
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cancel orders
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market impact
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0.8858916
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0.8620166
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0.86036766
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0.8512592
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0.85114694
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0.85033596
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