Multivariate Hawkes process model of market participants behavior in the high frequency world

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Veröffentlicht in:International journal of financial engineering
1. Verfasser: Chakravarty, Sugato (VerfasserIn)
Weitere Verfasser: Lee, Kiseop (VerfasserIn), Xi, Yang (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2021
Schlagworte:
granger causality > High frequency trading > multivariate Hawkes process > Aufsatz in Zeitschrift
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