The role of volume in order book dynamics: a multivariate Hawkes process analysis
From MaRDI portal
Publication:4555121
DOI10.1080/14697688.2016.1260759zbMath1402.91729arXiv1602.07663OpenAlexW3105085936MaRDI QIDQ4555121
Fabrizio Lillo, Marcello Rambaldi, Emmanuel Bacry
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.07663
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