On the Stability and Price Scaling Limit of a Hawkes Process-Based Order Book Model
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Elsevier BV
Reference21 articles.
1. A mathematical approach to order book modeling;F Abergel;International Journal of Theoretical and Applied Finance,2013
2. Modeling Financial Contagion Using Mutually Exciting Jump Processes
3. Modelling microstructure noise with mutually exciting point processes;E Bacry;Quantitative Finance,2013
4. Scaling limits for Hawkes processes and application to financial statistics;E Bacry;Stochastic Processes and Applications,2013
5. Hawkes model for price and trades high-frequency dynamics
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1. Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model;Journal of Futures Markets;2016-07-26
2. The limits of statistical significance of Hawkes processes fitted to financial data;Quantitative Finance;2015-12-23
3. Effective measure of endogeneity for the Autoregressive Conditional Duration point processes via mapping to the self-excited Hawkes process;Communications in Nonlinear Science and Numerical Simulation;2015-05
4. Statistically Significant Fits of Hawkes Processes to Financial Data;SSRN Electronic Journal;2014
5. Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model;SSRN Electronic Journal;2014
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