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"Order Book Queue Hawkes Markovian Modeling."

Philip Protter, Qianfan Wu, Shihao Yang (2024)

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DOI: 10.1137/22M1470815

access: closed

type: Journal Article

metadata version: 2024-10-06

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Philip Protter, Qianfan Wu, Shihao Yang:
Order Book Queue Hawkes Markovian Modeling. SIAM J. Financial Math. 15(1): 1-25 (2024)

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