Pages that link to "Item:Q289187"

The following pages link to Modelling security market events in continuous time: intensity based, multivariate point process models (Q289187):

Displaying 31 items.

• Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market (Q4554423) (← links)
• Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events (Q4554425) (← links)
• Constant proportion portfolio insurance strategies in contagious markets (Q4554427) (← links)
• The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121) (← links)
• Analysis of Branching Ratio of Telecommunication Stocks in Thailand Using Hawkes Process (Q4558841) (← links)
• Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes (Q4580297) (← links)
• Spatio-temporal patterns of IED usage by the Provisional Irish Republican Army (Q4594589) (← links)
• Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data (Q4619496) (← links)
• MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS (Q4631692) (← links)
• Market impact as anticipation of the order flow imbalance (Q4683068) (← links)
• Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
• (Q4966350) (← links)
• Estimation of Correlation Between Latent Processes (Q4976496) (← links)
• The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105) (← links)
• Parameter Estimation of Binned Hawkes Processes (Q5057223) (← links)
• Classification of flash crashes using the Hawkes<i>(p,q)</i>framework (Q5068081) (← links)
• Mean-Variance Portfolio Selection in Contagious Markets (Q5071496) (← links)
• State-dependent Hawkes processes and their application to limit order book modelling (Q5072914) (← links)
• Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
• Efficient simulation of Lévy-driven point processes (Q5203972) (← links)
• Analyzing order flows in limit order books with ratios of Cox-type intensities (Q5215440) (← links)
• The endo–exo problem in high frequency financial price fluctuations and rejecting criticality (Q5234347) (← links)
• Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity (Q5392687) (← links)
• Modelling microstructure noise with mutually exciting point processes (Q5746743) (← links)
• A data-driven deep learning approach for options market making (Q6158439) (← links)
• Bootstrap inference for Hawkes and general point processes (Q6163273) (← links)
• Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)
• Order Book Queue Hawkes Markovian Modeling (Q6200514) (← links)
• The multivariate generalized linear Hawkes process in high dimensions with applications in neuroscience (Q6204674) (← links)
• A mutually exciting rough jump-diffusion for financial modelling (Q6495741) (← links)
• Diffusion approximations for self-excited systems with applications to general branching processes (Q6591583) (← links)