Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
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DOI: 10.1016/j.frl.2023.103922
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More about this item
Keywords
High-frequency stock price; Hawkes model; Neural network; Estimation; Volatility;All these keywords.
JEL classification:
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
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