Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process
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- Kyungsub Lee & Byoung Ki Seo, 2022. "Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data," Papers 2201.10173, arXiv.org.
- Matthias Kirchner, 2017. "An estimation procedure for the Hawkes process," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 571-595, April.
- Emmanuel Bacry & Thibault Jaisson & Jean--François Muzy, 2016. "Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1179-1201, August.
- Matthias Kirchner & Silvan Vetter, 2022. "Hawkes model specification for limit order books," The European Journal of Finance, Taylor & Francis Journals, vol. 28(7), pages 642-662, May.
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This paper has been announced in the following NEP Reports:- NEP-MST-2024-01-22 (Market Microstructure)
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