State-dependent Hawkes processes and their application to limit order book modelling
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DOI: 10.1080/14697688.2021.1983199
Abstract: We study statistical aspects of state-dependent Hawkes processes, which are an extension of Hawkes processes where a self- and cross-exciting counting process and a state process are fully coupled, interacting with each other. The excitation… read more here.
Keywords: order; dependent hawkes; state dependent; state ... See more keywords