A symmetric Hawkes model is fit to S&P 500 tick data, and a heuristic diffusion counterpart is proposed that approximates its variance and skewness properties.
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Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
A symmetric Hawkes model is fit to S&P 500 tick data, and a heuristic diffusion counterpart is proposed that approximates its variance and skewness properties.