High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421)
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scientific article; zbMATH DE number 6979460
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration |
scientific article; zbMATH DE number 6979460 |
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High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (English)
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14 November 2018
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Hawkes processes
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limit order books
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high-frequency data
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non-convex optimization
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