Exogenous and endogenous price jumps belong to different dynamical classes
From MaRDI portal
Publication:5032079
DOI10.1088/1742-5468/ac498cOpenAlexW3175450624MaRDI QIDQ5032079
Michael Benzaquen, Riccardo Marcaccioli, Jean-Philippe Bouchaud
Publication date: 16 February 2022
Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2106.07040
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The inelastic market hypothesis: a microstructural interpretation, Multivariate quadratic Hawkes processes—part I: theoretical analysis
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