The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121)
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scientific article; zbMATH DE number 6981239
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The role of volume in order book dynamics: a multivariate Hawkes process analysis |
scientific article; zbMATH DE number 6981239 |
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The role of volume in order book dynamics: a multivariate Hawkes process analysis (English)
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19 November 2018
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Hawkes processes
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high frequency
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order book dynamics
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volume
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trades
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limit orders
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