Non-parametric estimation of quadratic Hawkes processes for order book events
Antoine Fosset, Jean-Philippe Bouchaud and Michael Benzaquen
| Year of publication: |
2022
|
|---|---|
| Authors: | Fosset, Antoine ; Bouchaud, Jean-Philippe ; Benzaquen, Michael |
| Subject: | endogenous liquidity crises | order book dynamics | Quadratic Hawkes processes | Zumbach effect | Theorie | Theory | Marktmikrostruktur | Market microstructure | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Geld-Brief-Spanne | Bid-ask spread | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2021.1917441 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013373307