Modeling high frequency data using hawkes processes with power-law kernels

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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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Bibliographic Details
Main Author:	Zhang, Changyong
Format:	Conference Paper
Published:	2016
Online Access:	http://hdl.handle.net/20.500.11937/50408

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