Modelling Bid and Ask Prices Using Constrained Hawkes...

SIAM Journal on Financial Mathematics 2014 / 01 Vol. 5; Iss. 1

Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit

Zheng, Ban, Roueff, François, Abergel, Frédéric
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Volume:
5
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/130912980
Date:
January, 2014
File:
PDF, 577 KB
english, 2014
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