Extension and calibration of a Hawkes-based optimal execution model
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Cited by:
- Matthias Kirchner, 2017. "An estimation procedure for the Hawkes process," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 571-595, April.
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This paper has been announced in the following NEP Reports:- NEP-MST-2015-07-04 (Market Microstructure)
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