most citedEstimation of an Order Book Dependent Hawkes Process for Large Datasets

6 citations · 6 across the 1 of their papers we have counts for

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q-fin.TR2026★ 6 cited

Estimation of an Order Book Dependent Hawkes Process for Large Datasets

Luca Mucciante, Alessio Sancetta

A point process for event arrivals in high frequency trading is presented. The intensity is the product of a Hawkes process and high dimensional functions of covariates derived fro…