Hawkes model for price and trades high-frequency dynamics

Quantitative Finance

Volumn 14, Issue 7, 2014, Pages 1147-1166

  Bacry, Emmanuel ^a   Muzy, Jean François ^b  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^b UNIVERSITÉ DE CORSE   (France)

Author keywords

Market impact; Market microstructure; Point processes

Indexed keywords

EID: 84902654808     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2014.897000     Document Type: Article

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