Guo, Qi; Remillard, Bruno; Sviščuk, Anatolij - In: Risks : open access journal 8 (2020) 3/98, pp. 1-20
In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MGCPP). Namely, we applied a multivariate point process to model the order flow instead of the Hawkes process. The law...
