Pages that link to "Item:Q5227409"
From MaRDI portal
The following pages link to A Scaling Limit for Limit Order Books Driven by Hawkes Processes (Q5227409):
Displaying 10 items.
- A functional limit theorem for limit order books with state dependent price dynamics (Q1688017) (← links)
- Scaling limit of a limit order book model via the regenerative characterization of Lévy trees (Q1704954) (← links)
- Functional limit theorems for marked Hawkes point measures (Q2021389) (← links)
- The microstructure of stochastic volatility models with self-exciting jump dynamics (Q2108901) (← links)
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
- Modelling of limit order books by general compound Hawkes processes with implementations (Q2241518) (← links)
- A Law of Large Numbers for Limit Order Books (Q4595967) (← links)
- The Malliavin-Stein method for Hawkes functionals (Q5870399) (← links)
- Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources (Q6115890) (← links)
- Diffusion approximations for self-excited systems with applications to general branching processes (Q6591583) (← links)