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 |
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| English | The role of volume in order book dynamics: a multivariate Hawkes process analysis |
scientific article; zbMATH DE number 6981239 |
Statements
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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0.8838139
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0.87079155
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0.8694047
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0.86338973
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0.8620166
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0.85646737
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0.8539505
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0.84776926
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0.8456316
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