Estimation of an Order Book Dependent Hawkes Process for Large Datasets

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Original language	English
Article number	nbad021
Pages (from-to)	1098-1129
Number of pages	32
Journal	Journal of Financial Econometrics
Volume	22
Issue number	4
Early online date	11 Aug 2023
DOIs	https://doi.org/10.1093/jjfinec/nbad021
Publication status	Published - 2024

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@article{501988b11dc24475a542026326a1077e,

title = "Estimation of an Order Book Dependent Hawkes Process for Large Datasets",

author = "Luca Mucciante and Alessio Sancetta",

year = "2024",

doi = "10.1093/jjfinec/nbad021",

language = "English",

volume = "22",

pages = "1098--1129",

journal = "Journal of Financial Econometrics",

issn = "1479-8409",

publisher = "Oxford University Press",

number = "4",

}