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A buffer Hawkes process for limit order books - MaRDI portal

A buffer Hawkes process for limit order books

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Publication:6292362

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arXiv1710.03506MaRDI QIDQ6292362

Mine Caglar, Ingemar Kaj

Publication date: 10 October 2017

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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