Long-Time Behavior of a Hawkes Process--Based Limit Order Book

Published 2015 View Full Article

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Title
Long-Time Behavior of a Hawkes Process--Based Limit Order Book
Authors
Keywords
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Journal
SIAM Journal on Financial Mathematics
Volume 6, Issue 1, Pages 1026-1043
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Online
2015-11-04
DOI
10.1137/15m1011469

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