Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
M. Achab, E. Bacry, J. F. Muzy and M. Rambaldi
| Year of publication: |
February 2018
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| Authors: | Achab, Massil ; Bacry, E. ; Muzy, J. F. ; Rambaldi, M. |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 2, p. 199-212
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| Subject: | Hawkes processes | Non-parametric estimation | GMM method | Order books | Market microstructure | Marktmikrostruktur | Schätztheorie | Estimation theory | Schätzung | Estimation | Wertpapierhandel | Securities trading | Nichtparametrisches Verfahren | Nonparametric statistics | Börsenkurs | Share price | Momentenmethode | Method of moments |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1403132 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011905857