Hawkes process: Fast calibration, application to trade clustering, and diffusive limit

Journal of Futures Markets

Volumn 34, Issue 6, 2014, Pages 548-579

  Da Fonseca, José ^a   Zaatour, Riadh ^b  

^a AUCKLAND UNIVERSITY OF TECHNOLOGY   (New Zealand)

^b ECOLE CENTRALE PARIS   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84899455067     PISSN: 02707314     EISSN: 10969934     Source Type: Journal    
DOI: 10.1002/fut.21644     Document Type: Article

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