Modeling high frequency data using hawkes processes with power-law kernels
Those empirical properties exhibited by high frequency financial data, such as time-varying intensities and self-exciting features, make it a challenge to model appropriately the dynamics associated with, for instance, order arrival. To capture the microscopic structures pertaining to limit order bo...
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| Format: | Conference Paper |
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2016
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| Online Access: | http://hdl.handle.net/20.500.11937/50408 |