Hawkes model for price and trades high-frequency dynamics

DOI10.1080/14697688.2014.897000zbMath1402.91750arXiv1301.1135OpenAlexW2079544355MaRDI QIDQ5245453

Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.1135

zbMATH Keywords

point processes market microstructure market impact

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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