A buffer Hawkes process for limit order books

arXiv1710.03506MaRDI QIDQ6292362

Mine Caglar, Ingemar Kaj

Publication date: 10 October 2017

Mathematics Subject Classification ID

91G80: Financial applications of other theories

60J80: Branching processes (Galton-Watson, birth-and-death, etc.)

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)