13 citations · 39 across the 10 of their papers we have counts for
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q-fin.ST2022★ 2 cited
Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures
Kyungsub Lee
The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment pro…
q-fin.TR2022★ 13 cited
Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data
Kyungsub Lee, Byoung Ki Seo
This study proposes a versatile model for the dynamics of the best bid and ask prices using an extended Hawkes process. The model incorporates the zero intensities of the spread-na…