Modeling bid and ask price dynamics with an extended hawkes process and its empirical applications for high-frequency stock market data

Kyungsub Lee, Byoung Ki Seo

Year of publication:	2023
Authors:	Lee, Kyungsub ; Seo, Byoung Ki
Subject:	bid-ask spread \| exchange \| Hawkes process \| high-frequency trading \| stock market \| Geld-Brief-Spanne \| Bid-ask spread \| Aktienmarkt \| Stock market \| Theorie \| Theory \| Elektronisches Handelssystem \| Electronic trading \| Börsenkurs \| Share price \| Marktmikrostruktur \| Market microstructure \| Volatilität \| Volatility

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