Quantitative and Comparative Analyses of Limit Order Books with General Compound Hawkes Processes
In this paper, we solve the problem of mid price movements arising in high-frequency and algorithmic trading using real data. Namely, we introduce different new types of General Compound Hawkes Processes (GCHPDO, GCHP2SDO, GCHPnSDO) and find their diffusive limits to model the mid price movements of...
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| Principais autores: | , |
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| 格式: | Artigo |
| 語言: | Inglês |
| 出版: |
MDPI AG
2019-11-01
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| 叢編: | Risks |
| 主題: | |
| 在線閱讀: | https://www.mdpi.com/2227-9091/7/4/110 |
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