Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
DOI10.1080/14697688.2017.1403132zbMath1405.62135arXiv1706.03411OpenAlexW2625161487MaRDI QIDQ4554417
Marcello Rambaldi, Massil Achab, Jean-François Muzy, Emmanuel Bacry
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.03411
nonparametric estimationmarket microstructureHawkes processesmultivariate Hawkes processGMM methodorder books
Density estimation (62G07) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (4)
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