A Hawkes process analysis of high-frequency price endogeneity and market efficiency-Reference-Cited by-同舟云学术

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A Hawkes process analysis of high-frequency price endogeneity and market efficiency

Published:2023-09-04 Issue: Volume: Page:1-31
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Zhuo Jingbin¹^ORCID,Chen Yufan¹,Zhou Bang¹,Lang Baiming¹,Wu Lan¹²³,Zhang Ruixun¹²³⁴^ORCID

Affiliation:

1. Department of Financial Mathematics, School of Mathematical Sciences, Peking University, Beijing, People's Republic of China

2. Laboratory for Mathematical Economics and Quantitative Finance, Peking University, Beijing, People's Republic of China

3. Center for Statistical Science, Peking University, Beijing, People's Republic of China

4. National Engineering Laboratory for Big Data Analysis and Applications, Beijing, People's Republic of China

Funder

National Key R&D Program of China

National Natural Science Foundation of China

Peking University

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2023.2251531

Reference55 articles.

1. Illiquidity and stock returns: cross-section and time-series effects

2. Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data

3. Mean-field inference of Hawkes point processes

4. Hawkes Processes in Finance

5. Billio, M., A. W. Lo, L. Pelizzon, M. Getmansky Sherman, and A. Zareei. 2022. “Global Realignment in Financial Market Dynamics.” SAFE Working Paper.

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