Limit order book dynamics and order size modelling using Compound Hawkes Process
Konark Jain, Nick Firoozye, Jonathan Kochems, Philip Treleaven
| Year of publication: |
2024
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|---|---|
| Authors: | Jain, Konark ; Firoozye, Nikan B. ; Kochems, Jonathan ; Treleaven, Philip C. |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 69.2024, 1, Art.-No. 106157, p. 1-20
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| Subject: | Limit order book | Microstructure | Financial simulations | Hawkes process | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure | Theorie | Theory | Simulation | Geld-Brief-Spanne | Bid-ask spread | Börsenkurs | Share price | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.106157 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015080930