State-dependent Hawkes processes and their application to limit order book modelling
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Title
State-dependent Hawkes processes and their application to limit order book modelling
Authors
Keywords
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Journal
QUANTITATIVE FINANCE
Volume -, Issue -, Pages 1-21
Publisher
Informa UK Limited
Online
2021-12-07
DOI
10.1080/14697688.2021.1983199
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