Stochastic modelling of big data in finance
DOI10.1007/s11009-020-09826-6zbMath1457.91364MaRDI QIDQ2218868
Publication date: 18 January 2021
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-020-09826-6
stochastic modelling; limit order books; big data in finance; CISCO data; compound Hawkes pocess; Deutsche Boerse Group data; general compound Hawkes process; Lobster data; methodological aspects of using the models; multivariate general compound Hawkes process; nonlinear general compound Hawkes process; semi-Markov modelling
60F05: Central limit and other weak theorems
60K15: Markov renewal processes, semi-Markov processes
91G80: Financial applications of other theories
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
91G15: Financial markets