Some applications of Hawkes processes to Order Book Modelling

I. Muni-Toke
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I. Muni-Toke: ERIM - Equipe de Recherche en Informatique et Mathématiques - UNC - Université de la Nouvelle-Calédonie

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Date: 2011-03-20
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Published in First Unconventional Workshop on Quantitative Finance and Economics, Mar 2011, Tokyo, Japan

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