Analysis of Individual High-Frequency Traders’ Buy–Sell Order Strategy Based on Multivariate Hawkes Process

Traders who instantly react to changes in the financial market and place orders in milliseconds are called high-frequency traders (HFTs). HFTs have recently become more prevalent and attracting attention in the study of market microstructures. In this study, we used data to track the order history o...

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Detalles Bibliográficos
Autores principales: Watari, Hiroki, Takayasu, Hideki, Takayasu, Misako
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8871091/
https://www.ncbi.nlm.nih.gov/pubmed/35205509
http://dx.doi.org/10.3390/e24020214

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8871091/
https://www.ncbi.nlm.nih.gov/pubmed/35205509
http://dx.doi.org/10.3390/e24020214

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