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2304.11883
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Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
24 April 2023
Kyungsub Lee
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Papers citing
"Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data"
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Title
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