Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach
Rambaldi, Marcello, Pennesi, Paris, Lillo, FabrizioVolume:
91
Language:
english
Journal:
Physical Review E
DOI:
10.1103/PhysRevE.91.012819
Date:
January, 2015
File:
PDF, 1.48 MB
english, 2015