Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
Author:
Affiliation:
1. CMAP, Ecole Polytechnique, CNRS, UMR 7641, 91128Palaiseau, France.
2. SPE, Université de Corse, CNRS, UMR 6134, Campus Grimaldi, 20250Corte, France.
Funder
Ecole Polytechnique, Universite dEvry Val dEssonne and Federation Bancaire Francaise
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1403132
Reference29 articles.
1. Modelling microstructure noise with mutually exciting point processes
2. Market Impacts and the Life Cycle of Investors Orders
3. Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
4. Hawkes Processes in Finance
5. Hawkes model for price and trades high-frequency dynamics
Cited by 10 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes;Journal of Financial Econometrics;2022-07-09
2. An Algorithm for the Computation of Joint Hawkes Moments with Exponential Kernel;Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications;2022-03-31
3. Analysis of Individual High-Frequency Traders’ Buy–Sell Order Strategy Based on Multivariate Hawkes Process;Entropy;2022-01-29
4. A Tale of Two Time Scales: Applications in Nonparametric Hawkes Processes With Ito Semimartingale Baseline;SSRN Electronic Journal;2022
5. State-dependent Hawkes processes and their application to limit order book modelling;Quantitative Finance;2021-12-07
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3