Modelling order arrivals at price limits using Hawkes processes
Afshin Haghighi, Saeid Fallahpour, Reza Eyvazlu
| Year of publication: |
November 2016
|
|---|---|
| Authors: | Haghighi, Afshin ; Fallahpour, Saeid ; Eyvazlu, Reza |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 19.2016, p. 267-272
|
| Subject: | Price limits | Hawkes processes | Order flow | High frequency modelling | Börsenkurs | Share price | Theorie | Theory | Volatilität | Volatility | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure | Stochastischer Prozess | Stochastic process | Finanzmarktregulierung | Financial market regulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2016.08.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011657715