Marked point processes and intensity ratios for limit order book modeling
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Publication:2166017
DOI10.1007/s42081-021-00137-9OpenAlexW3002706817MaRDI QIDQ2166017
Ioane Muni Toke, Nakahiro Yoshida
Publication date: 23 August 2022
Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2001.08442
marked point processesquasi-likelihood analysislimit order bookhigh-frequency trading datatrade aggressivenesstrade signature
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