Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
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Publication:4554209
DOI10.1080/14697688.2015.1123287zbMath1400.62232arXiv1412.7096OpenAlexW124974610MaRDI QIDQ4554209
Thibault Jaisson, Emmanuel Bacry, Jean-François Muzy
Publication date: 13 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1412.7096
Hawkes processesmarket impactlimit ordershigh-frequencytradeskernel estimationsorder book dynamicscancel orderspower law kernels
Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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