Pages that link to "Item:Q4555121"
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The following pages link to The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121):
Displaying 19 items.
- Dimensioning a queue with state-dependent arrival rates (Q2027065) (← links)
- Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume (Q2064616) (← links)
- Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes (Q2144192) (← links)
- Marked point processes and intensity ratios for limit order book modeling (Q2166017) (← links)
- Sparse estimation for generalized exponential marked Hawkes process (Q2694805) (← links)
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (Q4554209) (← links)
- Analysis of order book flows using a non-parametric estimation of the branching ratio matrix (Q4554417) (← links)
- Collective synchronization and high frequency systemic instabilities in financial markets (Q4554420) (← links)
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421) (← 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)
- Endogenous liquidity crises (Q5135044) (← links)
- A Scaling Limit for Limit Order Books Driven by Hawkes Processes (Q5227409) (← links)
- The endo–exo problem in high frequency financial price fluctuations and rejecting criticality (Q5234347) (← links)
- Learning multi-market microstructure from order book data (Q5234377) (← links)
- Disentangling and quantifying market participant volatility contributions (Q5235452) (← links)
- Nonparametric estimation of locally stationary Hawkes processes (Q6103226) (← links)
- Multivariate Hawkes process allowing for common shocks (Q6650757) (← links)
