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Modelling of Limit Order Books by General Compound Hawkes Processes with Implementations

Crossref DOI link: https://doi.org/10.1007/s11009-020-09803-z

Published Online: 2020-06-19

Published Print: 2021-03

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Swishchuk, Anatoliy https://orcid.org/0000-0002-4822-9934
License Information

Text and Data Mining valid from 2020-06-19

Version of Record valid from 2020-06-19
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Article History

Received: 12 February 2019

Revised: 28 April 2020

Accepted: 10 June 2020

First Online: 19 June 2020