scholarly journals Transform analysis for Hawkes processes with applications in dark pool trading

2017 ◽  
Vol 18 (2) ◽  
pp. 265-282 ◽  
Author(s):  
Xuefeng Gao ◽  
Xiang Zhou ◽  
Lingjiong Zhu
Keyword(s):  
Hawkes Processes ◽  
Dark Pool

Supplementary Materials for 'Score Test for Marks in Hawkes Processes'

2019 ◽  
Author(s):  
Kylie-Anne Richards ◽  
William Dunsmuir ◽  
Gareth W. Peters
Keyword(s):  
Score Test ◽  
Hawkes Processes

Price impact of large orders using Hawkes processes

2019 ◽  
Vol 61 ◽  
pp. 161
Author(s):  
Lucas Amaral ◽  
Andrew Papanicolaou
Keyword(s):  
Price Impact ◽  
Hawkes Processes

scholarly journals Asymptotic distribution of the score test for detecting marks in hawkes processes

2021 ◽  
Author(s):  
Simon Clinet ◽  
William T. M. Dunsmuir ◽  
Gareth W. Peters ◽  
Kylie-Anne Richards
Keyword(s):  
Asymptotic Distribution ◽  
Score Test ◽  
Hawkes Processes
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