Classification of flash crashes using the Hawkes(p,q)framework
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Publication:5068081
DOI10.1080/14697688.2021.1941212zbMath1484.91463OpenAlexW3099001628MaRDI QIDQ5068081
Alexander Wehrli, Didier Sornette
Publication date: 5 April 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2021.1941212
EM algorithmtime-varying parametersmarket microstructureHawkes processhigh frequency financial dataflash crashARMA point process
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