Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Year of publication: |
2023
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Authors: | Lee, Kyungsub |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 55.2023, 1, p. 1-6
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Subject: | Estimation | Hawkes model | High-frequency stock price | Neural network | Volatility | Neuronale Netze | Neural networks | Börsenkurs | Share price | Volatilität | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Schätzung |
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