Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process

Fuente: arXiv

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Bibliographic Details
Main Authors:	Jain, Konark, Firoozye, Nick, Kochems, Jonathan, Treleaven, Philip
Format:	Preprint
Published:	2023
Subjects:	Trading and Market Microstructure Computational Engineering, Finance, and Science Computational Finance Applications
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2312.08927