Modelling trades-through in a limited order book using Hawkes processes
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References listed on IDEAS
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- Simon Clinet & Yoann Potiron, 2016. "Statistical inference for the doubly stochastic self-exciting process," Papers 1607.05831, arXiv.org, revised Jun 2017.
- repec:eee:csdana:v:123:y:2018:i:c:p:131-145 is not listed on IDEAS
More about this item
KeywordsHawkes processes; limit order book; trades-through; highfrequency trading; microstructure;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-22 (All new papers)
- NEP-ECM-2011-08-22 (Econometrics)
- NEP-MST-2011-08-22 (Market Microstructure)
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