State-dependent Hawkes processes and their application to limit order book modelling (Q5072914)
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scientific article; zbMATH DE number 7518204
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | State-dependent Hawkes processes and their application to limit order book modelling |
scientific article; zbMATH DE number 7518204 |
Statements
State-dependent Hawkes processes and their application to limit order book modelling (English)
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5 May 2022
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Hawkes process
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high-frequency financial data
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market microstructure
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limit order book
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maximum likelihood estimation
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endogeneity
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