Classification of flash crashes using the Hawkes<i>(p,q)</i>framework (Q5068081)
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scientific article; zbMATH DE number 7503259
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Classification of flash crashes using the Hawkes<i>(p,q)</i>framework |
scientific article; zbMATH DE number 7503259 |
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Classification of flash crashes using the Hawkes<i>(p,q)</i>framework (English)
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5 April 2022
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flash crash
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Hawkes process
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ARMA point process
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high frequency financial data
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market microstructure
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EM algorithm
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time-varying parameters
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