Critical reflexivity in financial markets: A Hawkes process analysis

European Physical Journal B

Volumn 86, Issue 10, 2013, Pages

  Hardimana, Stephen J ^a   Bercot, Nicolas ^a   Bouchaud, Jean Philippe ^a  

^a Capital Fund Management   (France)

Author keywords

[No Author keywords available]

Indexed keywords

DECAY EXPONENTS; ESTIMATION METHODS; FINANCIAL MARKET; FUTURES CONTRACT; HIGHER FREQUENCIES; POWER LAW REGIME; PROCESS ANALYSIS; SELF-EXCITING;

CONDENSED MATTER PHYSICS; PHYSICS;

COMMERCE;

EID: 84893006456     PISSN: 14346028     EISSN: 14346036     Source Type: Journal    
DOI: 10.1140/epjb/e2013-40107-3     Document Type: Article

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