Hawkes model for price and trades high-frequency dynamics

Quantitative Finance 2014 / 07 Vol. 14; Iss. 7

Hawkes model for price and trades high-frequency dynamics

Bacry, Emmanuel, Muzy, Jean-François
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Volume:
14
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2014.897000
Date:
July, 2014
File:
PDF, 726 KB
english, 2014
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