Analysis of order book flows using a non-parametric estimation of the branching ratio matrix (Q4554417)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6979456
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Analysis of order book flows using a non-parametric estimation of the branching ratio matrix |
scientific article; zbMATH DE number 6979456 |
Statements
Analysis of order book flows using a non-parametric estimation of the branching ratio matrix (English)
0 references
14 November 2018
0 references
Hawkes processes
0 references
nonparametric estimation
0 references
GMM method
0 references
order books
0 references
market microstructure
0 references
multivariate Hawkes process
0 references
0 references
0 references
0 references
0 references
0.86064667
0 references
0.85344803
0 references
0.84776926
0 references
0.8470044
0 references
0.8461245
0 references
0.8458165
0 references
0.8434608
0 references
0.83776057
0 references
