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  1. Classification of flash crashes using the Hawkes(p,q) framework
    Author: Wehrli, Alexander; Sornette, Didier
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

    Access:
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 544
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Research paper series / Swiss Finance Institute ; no 20, 92
    Subjects: Flash crash; Hawkes process; ARMA point process; High frequency nancial data; Market microstructure; EM algorithm; Time-varying parameters
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen