Analysis of order book flows using a non-parametric estimation of the branching ratio matrix (Q4554417)
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scientific article; zbMATH DE number 6979456
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of order book flows using a non-parametric estimation of the branching ratio matrix |
scientific article; zbMATH DE number 6979456 |
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Analysis of order book flows using a non-parametric estimation of the branching ratio matrix (English)
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14 November 2018
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Hawkes processes
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nonparametric estimation
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GMM method
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order books
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market microstructure
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multivariate Hawkes process
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