Compound hawkes processes in limit order books
Anatoliy Swishchuk, Bruno Remillard, Robert Elliott, and Jonathan Chavez-Casillas
| Year of publication: |
2019
|
|---|---|
| Authors: | Sviščuk, Anatolij ; Remillard, Bruno ; Elliott, Robert J. ; Chavez-Casillas, Jonathan |
| Published in: |
Financial mathematics, volatility and covariance modelling. - London : Routledge, ISBN 978-1-138-06094-4. - 2019, p. 191-214
|
| Subject: | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure | Theorie | Theory | Börsenkurs | Share price | Geld-Brief-Spanne | Bid-ask spread |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012249127