Hawkes Processes In Finance
MARKET MICROSTRUCTURE AND LIQUIDITY, no. 1 (2015)
摘要
In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate point processes that has become very popular in empirical high-frequency finance this last decade. After a reminder of the main definitions and pr...更多
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