Research paper / RESOURCE PROFILE

Estimation of an Order Book Dependent Hawkes Process for Large Dataset

Publication: Estimation of an Order Book Dependent Hawkes Process for Large Datasets. Published Jul 18, 2023.

Market Data & APIs
arxiv.orgPublished Jul 18, 2023
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Overview

Publication: Estimation of an Order Book Dependent Hawkes Process for Large Datasets. Published Jul 18, 2023.

Publication information

Publication title
Estimation of an Order Book Dependent Hawkes Process for Large Datasets
Authors
Luca Mucciante, Alessio Sancetta
Published
Jul 18, 2023
Last publication revision
May 10, 2026
Subject areas
q-fin.TR, stat.ML
DOI
10.1093/jjfinec/nbad021 ↗
Publication source
arxiv.org · abs/2307.09077v2 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2307.09077 ↗

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