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20182023
most citedModeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data

13 citations · 13 across the 3 of their papers we have counts for

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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…