Pages that link to "Item:Q4554421"
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The following pages link to High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421):
Displaying 18 items.
- A convergence criterion for systems of point processes from the convergence of their stochastic intensities (Q2064803) (← links)
- Mean field limits for interacting Hawkes processes in a diffusive regime (Q2073204) (← links)
- Marked point processes and intensity ratios for limit order book modeling (Q2166017) (← links)
- Modelling of limit order books by general compound Hawkes processes with implementations (Q2241518) (← links)
- Optimal market-making strategies under synchronised order arrivals with deep neural networks (Q2246653) (← links)
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (Q4554209) (← links)
- Transform analysis for Hawkes processes with applications in dark pool trading (Q4554422) (← links)
- The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121) (← links)
- Modelling high-frequency limit order book dynamics with support vector machines (Q4619497) (← links)
- The dynamics of ex-ante weighted spread: an empirical analysis (Q4991045) (← links)
- The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105) (← links)
- Closed-form Approximations in Multi-asset Market Making (Q5063386) (← links)
- State-dependent Hawkes processes and their application to limit order book modelling (Q5072914) (← links)
- A Scaling Limit for Limit Order Books Driven by Hawkes Processes (Q5227409) (← links)
- Disentangling and quantifying market participant volatility contributions (Q5235452) (← links)
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution (Q6158406) (← links)
- Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations (Q6196292) (← links)
- Multivariate Hawkes process allowing for common shocks (Q6650757) (← links)
