Transform analysis for Hawkes processes with applications in dark pool trading
Author:
Affiliation:
1. Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong.
2. Department of Mathematics, Florida State University, 1017 Academic Way, Tallahassee, FL-32306, USA.
Funder
National Science Foundation
Hong Kong RGC ECS Grant
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1403151
Reference40 articles.
1. Numerical Inversion of Laplace Transforms of Probability Distributions
2. Long-Time Behavior of a Hawkes Process--Based Limit Order Book
3. Double-Sided Batch Queues with Abandonment: Modeling Crossing Networks
4. Hawkes Processes in Finance
5. Hawkes model for price and trades high-frequency dynamics
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