Pages that link to "Item:Q4554209"

The following pages link to Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (Q4554209):

Displaying 27 items.

• The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
• Nonparametric Bayesian estimation for multivariate Hawkes processes (Q2215756) (← links)
• Optimal liquidation problem in illiquid markets (Q2242363) (← links)
• Optimal market-making strategies under synchronised order arrivals with deep neural networks (Q2246653) (← links)
• Analysis of order book flows using a non-parametric estimation of the branching ratio matrix (Q4554417) (← links)
• High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421) (← links)
• Linear models for the impact of order flow on prices. I. History dependent impact models (Q4554471) (← links)
• The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121) (← links)
• (Q4558519) (← links)
• (Q4558550) (← links)
• Optimal Decisions in a Time Priority Queue (Q4559471) (← links)
• Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes (Q5014205) (← links)
• The SINC way: a fast and accurate approach to Fourier pricing (Q5072903) (← links)
• State-dependent Hawkes processes and their application to limit order book modelling (Q5072914) (← links)
• An ephemerally self-exciting point process (Q5084789) (← links)
• (Q5093432) (← links)
• Optimal Market Making with Persistent Order Flow (Q5162846) (← links)
• The endo–exo problem in high frequency financial price fluctuations and rejecting criticality (Q5234347) (← links)
• Disentangling and quantifying market participant volatility contributions (Q5235452) (← links)
• The characteristic function of rough Heston models (Q5743116) (← links)
• Analysis of order book dynamics in the Japanese stock market using the Queue-Reactive Hawkes process (Q5857175) (← links)
• Multivariate quadratic Hawkes processes—part I: theoretical analysis (Q6158435) (← links)
• A data-driven deep learning approach for options market making (Q6158439) (← links)
• Order Book Queue Hawkes Markovian Modeling (Q6200514) (← links)
• A neural network based model for multi-dimensional non-linear Hawkes processes (Q6567310) (← links)
• Diffusion approximations for self-excited systems with applications to general branching processes (Q6591583) (← links)
• SB-ETAS: using simulation based inference for scalable, likelihood-free inference for the ETAS model of earthquake occurrences (Q6643206) (← links)