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Quantitative Finance 2016 / 12

The role of volume in order book dynamics: a multivariate Hawkes process analysis

Rambaldi, Marcello, Bacry, Emmanuel, Lillo, Fabrizio
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Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2016.1260759
Date:
December, 2016
File:
PDF, 16.24 MB
english, 2016
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