scholarly journals Critical reflexivity in financial markets: a Hawkes process analysis

2013 ◽  
Vol 86 (10) ◽  
Author(s):  
Stephen J. Hardiman ◽  
Nicolas Bercot ◽  
Jean-Philippe Bouchaud
Keyword(s):  
Financial Markets ◽  
Process Analysis ◽  
Hawkes Process ◽  
Critical Reflexivity

scholarly journals The role of volume in order book dynamics: a multivariate Hawkes process analysis

2016 ◽  
Vol 17 (7) ◽  
pp. 999-1020 ◽  
Author(s):  
Marcello Rambaldi ◽  
Emmanuel Bacry ◽  
Fabrizio Lillo
Keyword(s):  
Process Analysis ◽  
Order Book ◽  
Hawkes Process

European Financial Markets and Institutions

2009 ◽  
Author(s):  
Jakob de Haan ◽  
Sander Oosterloo ◽  
Dirk Schoenmaker
Keyword(s):  
Financial Markets ◽  
Markets And Institutions

Discrete Models of Financial Markets

2009 ◽  
Author(s):  
Marek Capinski ◽  
Ekkehard Kopp
Keyword(s):  
Financial Markets ◽  
Discrete Models

Financial Markets and Institutions

2012 ◽  
Author(s):  
Jakob de Haan ◽  
Sander Oosterloo ◽  
Dirk Schoenmaker
Keyword(s):  
Financial Markets ◽  
Markets And Institutions

Limit theorems and price changes in financial markets

1998 ◽  
Vol 77 (5) ◽  
pp. 1353-1356
Author(s):  
Rosario N. Mantegna, H. Eugene Stanley
Keyword(s):  
Financial Markets ◽  
Limit Theorems ◽  
Price Changes
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