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An unbounded intensity model for point processes - MaRDI portal

An unbounded intensity model for point processes

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Publication:6664619

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DOI10.1016/j.jeconom.2024.105840MaRDI QIDQ6664619

Kim Christensen, Aleksey Kolokolov

Publication date: 16 January 2025

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

heavy traffic point process high-frequency data trading activity Cox process order imbalance intensity burst slope of the order book

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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