Estimation of slowly decreasing Hawkes kernels: application...

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Quantitative Finance 2016 / 04

Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics

Bacry, Emmanuel, Jaisson, Thibault, Muzy, Jean–François
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Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2015.1123287
Date:
April, 2016
File:
PDF, 6.61 MB
english, 2016
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