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Queue-reactive Hawkes models for the order flow

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https://hal.archives-ouvertes.fr/hal-02409073
Contributor : Emmanuel Bacry Connect in order to contact the contributor
Submitted on : Wednesday, November 24, 2021 - 10:44:55 PM
Last modification on : Tuesday, January 18, 2022 - 3:23:47 PM

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1901.08938.pdf
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  • HAL Id : hal-02409073, version 1

Citation

Peng Wu, Marcello Rambaldi, Jean-François Muzy, Emmanuel Bacry. Queue-reactive Hawkes models for the order flow. 2021. ⟨hal-02409073⟩

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