15 citations · 19 across the 13 of their papers we have counts for
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q-fin.MF2020★ 1 cited
Multivariate General Compound Point Processes in Limit Order Books
Qi Guo, Bruno Remillard, Anatoliy Swishchuk
In this paper, we focus on a new generalization of multivariate general compound Hawkes process (MGCHP), which we referred to as the multivariate general compound point process (MG…
q-fin.MF2017★ 2 cited
Compound Hawkes Processes in Limit Order Books
Anatoliy Swishchuk, Bruno Remillard, Robert Elliott +1
In this paper we introduce two new Hawkes processes, namely, compound and regime-switching compound Hawkes processes, to model the price processes in limit order books. We prove La…