Analyzing order flows in limit order books with ratios of Cox-type intensities (Q5215440)
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scientific article; zbMATH DE number 7165660
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| English | Analyzing order flows in limit order books with ratios of Cox-type intensities |
scientific article; zbMATH DE number 7165660 |
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Analyzing order flows in limit order books with ratios of Cox-type intensities (English)
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10 February 2020
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order book models
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point processes
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Cox processes
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Hawkes processes
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ratio models
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trading signals
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imbalance
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spread
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0.9054558
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0.87116826
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0.86725736
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0.86102545
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0.8525435
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0.8486612
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