An order book dependent Hawkes process is estimated via a scalable algorithm for large high-frequency datasets, with out-of-sample tests on four NYSE stocks showing added value from nonlinear order book covariates.
(1997) Foundations of Modern Probability
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.TR 1years
2023 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Estimation of an Order Book Dependent Hawkes Process for Large Datasets
An order book dependent Hawkes process is estimated via a scalable algorithm for large high-frequency datasets, with out-of-sample tests on four NYSE stocks showing added value from nonlinear order book covariates.