17 citations · 94 across the 18 of their papers we have counts for
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q-fin.ST2023★ 8 cited
Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Kyungsub Lee
This study examines the use of a recurrent neural network for estimating the parameters of a Hawkes model based on high-frequency financial data, and subsequently, for computing vo…
q-fin.ST2023★ 2 cited
Multi-kernel property in high-frequency price dynamics under Hawkes model
Kyungsub Lee
This study investigates and uses multi-kernel Hawkes models to describe a high-frequency mid-price process. Each kernel represents a different responsive speed of market participan…