Modeling aggressive market order placements with Hawkes factor models.
Price changes are induced by aggressive market orders in stock market. We introduce a bivariate marked Hawkes process to model aggressive market order arrivals at the microstructural level. The order arrival intensity is marked by an exogenous part and two endogenous processes reflecting the self-ex...
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| Hoofdauteurs: | , |
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| Formaat: | Artigo |
| Taal: | Inglês |
| Gepubliceerd in: |
Public Library of Science (PLoS)
2020-01-01
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| Reeks: | PLoS ONE |
| Online toegang: | https://doi.org/10.1371/journal.pone.0226667 |
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