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20122019
most citedHeavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets

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

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math.ST2019

Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes

Simon Clinet, William T. M. Dunsmuir, Gareth W. Peters +1

The asymptotic distribution of the score test of the null hypothesis that marks do not impact the intensity of a Hawkes marked self-exciting point process is shown to be chi-square…