A switching microstructure model for stock prices
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11579-018-00234-6.pdf
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4. Bacry, E., Delattre, S., Hoffmann, M., Muzy, J.F.: Scaling limits for Hawkes processes and application to financial statistics. Stoch. Process. Appl. 123(7), 2475–2499 (2013)
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