Multivariate General Compound Point Processes in Limit Order Books
In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MGCPP). Namely, we applied a multivariate point process to model the order flow instead of the Hawkes process. The law of...
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| Autori principali: | , , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
MDPI AG
2020-09-01
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| Serie: | Risks |
| Soggetti: | |
| Accesso online: | https://www.mdpi.com/2227-9091/8/3/98 |
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