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Recurrent neural network based parameter estimation of Hawkes model on
  high-frequency financial data

Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data

24 April 2023
Kyungsub Lee
ArXiv (abs)PDFHTML

Papers citing "Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data"

1 / 1 papers shown
Title
Application of Hawkes volatility in the observation of filtered
  high-frequency price process in tick structures
Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures
Kyungsub Lee
13
3
0
13 Jul 2022
1