State-dependent Hawkes processes and their application to limit order book modelling
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Publication:5072914
DOI10.1080/14697688.2021.1983199zbMath1490.91199arXiv1809.08060OpenAlexW2951007289MaRDI QIDQ5072914
Maxime Morariu-Patrichi, Mikko S. Pakkanen
Publication date: 5 May 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.08060
endogeneitymaximum likelihood estimationmarket microstructureHawkes processlimit order bookhigh-frequency financial data
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