General Compound Hawkes Processes in Limit Order Books-Reference-Cited by-同舟云学术

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General Compound Hawkes Processes in Limit Order Books

Published:2018 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Swishchuk Anatoliy V.,Huffman Aiden

Publisher

Elsevier BV

Reference52 articles.

1. Modelling of financial contagion using mutually exciting jump processes;Y Ait-Sahalia;Nat. Bureau of Ec. Res,2010

2. Regime Switching and European Options;J Buffington;Stochastic Theory and Control. Proceedings of a Workshop,2000

3. American Options with Regime Switching;J Buffington;International Journal of Theoretical and Applied Finance,2002

4. Hawkes Processes in Finance

Cited by 3 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. Stochastic Modelling of Big Data in Finance;Methodology and Computing in Applied Probability;2020-10-22

2. Modelling of Limit Order Books by General Compound Hawkes Processes with Implementations;Methodology and Computing in Applied Probability;2020-06-19

3. General Compound Hawkes Processes in Limit Order Books;Risks;2020-03-14

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