Hawkes Processes with Latency in Hawkes Processes: Applications in Finance

The dataset used in this paper is a high-frequency order book data, specifically BUND futures data.

Data and Resources

Cite this as

Marcos Costa Santos Carreira (2024). Dataset: Hawkes Processes with Latency in Hawkes Processes: Applications in Finance. https://doi.org/10.57702/293u6hs4

DOI retrieved: December 3, 2024

Additional Info

Field Value
Created December 3, 2024
Last update December 3, 2024
Defined In https://doi.org/10.48550/arXiv.2101.06348
Author Marcos Costa Santos Carreira
Homepage https://github.com/MarcosCarreira/Hawkes-With-Latency