2 papers
stat.AP2026
Extended State-dependent Hawkes Process for Limit Order Books: Mathematical Foundation and the Reproduction of Volatility Signature Plots
Akitoshi Kimura
This paper proposes an Extended State-Dependent Hawkes Process (ExsdHawkes) to model the intricate dynamics of Limit Order Books (LOBs). Our theoretical contribution lies in relaxi…
math.ST2017
Confidence interval for correlation estimator between latent processes
Akitoshi Kimura
Kimura and Yoshida treated a model in which the finite variation part of a two-dimensional semimartingale is expressed by time-integration of latent processes. They proposed a corr…