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The role of volume in order book dynamics: a multivariate Hawkes process analysis - MaRDI portal

The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121)

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scientific article; zbMATH DE number 6981239
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The role of volume in order book dynamics: a multivariate Hawkes process analysis
scientific article; zbMATH DE number 6981239

    Statements

    title
    The role of volume in order book dynamics: a multivariate Hawkes process analysis (English)
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    author
    Marcello Rambaldi
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    Fabrizio Lillo
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    Emmanuel Bacry
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    publication date
    19 November 2018
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    zbMATH DE Number
    6981239
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    zbMATH Keywords
    Hawkes processes
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    high frequency
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    order book dynamics
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    volume
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    trades
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    limit orders
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    OpenAlex ID
    W3105085936
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    arXiv ID
    1602.07663
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    cites work
    Limit order books
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    Q4039989
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