Price impact of large orders using Hawkes processes (Q4966641)
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scientific article; zbMATH DE number 7073944
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Price impact of large orders using Hawkes processes |
scientific article; zbMATH DE number 7073944 |
Statements
PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES (English)
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27 June 2019
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price-impact function
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limit order books
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execution of large orders
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Hawkes processes
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0.8765013813972473
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0.8578550219535828
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0.8361867666244507
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0.8231011033058167
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0.8117867708206177
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