The role of volume in order book dynamics: a multivariate Hawkes process analysis
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Title
The role of volume in order book dynamics: a multivariate Hawkes process analysis
Authors
Keywords
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Journal
QUANTITATIVE FINANCE
Volume 17, Issue 7, Pages 999-1020
Publisher
Informa UK Limited
Online
2016-12-24
DOI
10.1080/14697688.2016.1260759
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