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Extended State-dependent Hawkes Process for Limit Order Books: Mathematical Foundation and the Reproduction of Volatility Signature Plots

Fuente: arXiv

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Bibliographic Details
Main Author:	Kimura, Akitoshi
Format:	Preprint
Published:	2026
Subjects:	Applications Mathematical Finance Trading and Market Microstructure 60G55 (Primary), 62P05, 91B84 (Secondary) G.3; J.4
Online Access:	Acceder al recurso
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