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most citedPerfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals

6 citations · 8 across the 4 of their papers we have counts for

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econ.EM2019

A multifactor regime-switching model for inter-trade durations in the limit order market

Zhicheng Li, Haipeng Xing, Xinyun Chen

This paper studies inter-trade durations in the NASDAQ limit order market and finds that inter-trade durations in ultra-high frequency have two modes. One mode is to the order of a…