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q-fin.TR2017★ 3 cited
Inferring agent objectives at different scales of a complex adaptive system
Dieter Hendricks, Adam Cobb, Richard Everett +2
We introduce a framework to study the effective objectives at different time scales of financial market microstructure. The financial market can be regarded as a complex adaptive s…
q-fin.TR2016
The statistical significance of multivariate Hawkes processes fitted to limit order book data
Roger Martins, Dieter Hendricks
Hawkes processes have seen a number of applications in finance, due to their ability to capture event clustering behaviour typically observed in financial systems. Given a calibrat…