State-dependent Hawkes processes and their application to limit order book modelling
Maxime Morariu-Patrichi and Mikko S. Pakkanen
| Year of publication: |
2022
|
|---|---|
| Authors: | Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. |
| Subject: | Endogeneity | Hawkes process | High-frequency financial data | Limit order book | Market microstructure | Maximum likelihood estimation | Marktmikrostruktur | Wertpapierhandel | Securities trading | Theorie | Theory | Börsenkurs | Share price | Finanzmarkt | Financial market | Geld-Brief-Spanne | Bid-ask spread | Maximum-Likelihood-Schätzung |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1983199 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013167781