Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data |
scientific article |
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Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (English)
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9 August 2018
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stock price dynamics
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tick structure
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Hawkes process
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volatility
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diffusion model
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