Pages that link to "Item:Q5245453"
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The following pages link to Hawkes model for price and trades high-frequency dynamics (Q5245453):
Displaying 44 items.
- Hawkes processes on large networks (Q259574) (← links)
- Dynamic optimal execution in a mixed-market-impact Hawkes price model (Q261925) (← links)
- Statistical inference versus mean field limit for Hawkes processes (Q286219) (← links)
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591) (← links)
- Sensitivity analysis for marked Hawkes processes: application to CLO pricing (Q1670394) (← links)
- Self-exciting jump processes with applications to energy markets (Q1744711) (← links)
- Second order approximations for limit order books (Q1788823) (← links)
- Limit theorems for Hawkes processes including inhibition (Q2137763) (← links)
- Pricing and hedging foreign equity options under Hawkes jump-diffusion processes (Q2164552) (← links)
- Estimation, diagnostics, and extensions of nonparametric Hawkes processes with kernel functions (Q2195545) (← links)
- Stability and mean-field limits of age dependent Hawkes processes (Q2227472) (← links)
- Optimal market-making strategies under synchronised order arrivals with deep neural networks (Q2246653) (← links)
- A switching microstructure model for stock prices (Q2312402) (← links)
- Limit theorems for nearly unstable Hawkes processes (Q2341626) (← links)
- Limit theorems for a discrete-time marked Hawkes process (Q2667603) (← links)
- High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model (Q2941476) (← 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)
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421) (← links)
- Transform analysis for Hawkes processes with applications in dark pool trading (Q4554422) (← links)
- Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events (Q4554425) (← links)
- Linear models for the impact of order flow on prices. I. History dependent impact models (Q4554471) (← links)
- Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model (Q4554472) (← links)
- Quadratic Hawkes processes for financial prices (Q4555068) (← links)
- An estimation procedure for the Hawkes process (Q4555098) (← links)
- Modelling Asset Prices for Algorithmic and High-Frequency Trading (Q4585000) (← links)
- Semi-Markov Model for Market Microstructure (Q4682482) (← links)
- Market impact as anticipation of the order flow imbalance (Q4683068) (← links)
- PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES (Q4966641) (← links)
- The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105) (← links)
- Classification of flash crashes using the Hawkes<i>(p,q)</i>framework (Q5068081) (← links)
- State-dependent Hawkes processes and their application to limit order book modelling (Q5072914) (← links)
- An ephemerally self-exciting point process (Q5084789) (← links)
- Clustering Effects via Hawkes Processes (Q5132613) (← links)
- Exchange options under clustered jump dynamics (Q5139207) (← 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)
- Disentangling and quantifying market participant volatility contributions (Q5235452) (← links)
- Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources (Q6115890) (← links)
- A data-driven deep learning approach for options market making (Q6158439) (← links)
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)
- Order Book Queue Hawkes Markovian Modeling (Q6200514) (← links)
- Price Impact Without Averaging (Q6490770) (← links)
- Scale dependencies and self-similar models with wavelet scattering spectra (Q6657431) (← links)
