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Quantitative Finance Volume 22, 2022 - Issue 3

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Research Papers

State-dependent Hawkes processes and their application to limit order book modelling

Maxime Morariu-Patrichi† Department of Mathematics, Imperial College London, South Kensington Campus, LondonSW7 2AZ, UK

Mikko S. Pakkanen† Department of Mathematics, Imperial College London, South Kensington Campus, LondonSW7 2AZ, UK;‡ CREATES, Aarhus University, Aarhus, DenmarkCorrespondence[email protected]

https://orcid.org/0000-0002-0696-4914

Pages 563-583 | Received 31 Aug 2019, Accepted 13 Sep 2021, Published online: 07 Dec 2021

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https://doi.org/10.1080/14697688.2021.1983199
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Articles from other publishers (5)

Kyungsub Lee. (2023) Multi-kernel property in high-frequency price dynamics under Hawkes model. Studies in Nonlinear Dynamics & Econometrics 0:0.
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Meysam Feili & Mohammad Taghi Ameli. (2023) Integrated operation of gas and power system through the P2P market mechanism. IET Smart Grid.
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Dharmaraja Selvamuthu & Paola Tardelli. (2022) Infinite-server systems with Hawkes arrivals and Hawkes services. Queueing Systems 101:3-4, pages 329-351.
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Luca Mucciante & Alessio Sancetta. (2022) ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS. Econometric Theory, pages 1-20.
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Zhicheng Li & Haipeng Xing. (2022) High-Frequency Quote Volatility Measurement Using a Change-Point Intensity Model. Mathematics 10:4, pages 634.
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