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  • Search: subject:"High frequency nancial data"
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Subject
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Börsenkurs 2 EM algorithm 2 Hawkes process 2 High frequency nancial data 2 Market microstructure 2 Marktmikrostruktur 2 Share price 2 Time series analysis 2 Volatility 2 Volatilität 2 Zeitreihenanalyse 2 ARMA point process 1 Algorithm 1 Algorithmus 1 Econometrics 1 Electronic trading 1 Elektronisches Handelssystem 1 Estimation theory 1 Financial crisis 1 Financial market 1 Finanzkrise 1 Finanzmarkt 1 Flash crash 1 Integer-valued autoregressive process 1 Nonstationarity 1 Schätztheorie 1 Securities trading 1 Spurious inference 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Time-varying parameters 1 Wertpapierhandel 1 Ökonometrie 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2
Language
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English 2
Author
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Sornette, Didier 2 Wehrli, Alexander 2 Wheatley, Spencer 1
Published in...
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Research paper series / Swiss Finance Institute 2 Swiss Finance Institute Research Paper 1
Source
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander; Sornette, Didier - 2020
Persistent link: https://www.econbiz.de/10012419619
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Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - 2020
The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...
Persistent link: https://www.econbiz.de/10012219363
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