Pages that link to "Item:Q5072914"
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The following pages link to State-dependent Hawkes processes and their application to limit order book modelling (Q5072914):
Displaying 13 items.
- A functional limit theorem for limit order books with state dependent price dynamics (Q1688017) (← 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)
- Infinite-server systems with Hawkes arrivals and Hawkes services (Q2167922) (← links)
- Modelling of limit order books by general compound Hawkes processes with implementations (Q2241518) (← 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)
- Interest Rates Term Structure Models Driven by Hawkes Processes (Q6070672) (← links)
- ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS (Q6078283) (← links)
- Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations (Q6196292) (← links)
- Price Impact Without Averaging (Q6490770) (← links)
- Multivariate Hawkes process allowing for common shocks (Q6650757) (← links)
