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Analysis of order book dynamics in the Japanese stock market using the Queue-Reactive Hawkes process.

Makoto NoharaHidetoshi Nakagawa
Published in: JSIAM Lett. (2021)
Keyphrases
  • stock market
  • data analysis
  • trading rules
  • neural network
  • stock price
  • data mining
  • long term
  • empirical studies
  • empirical analysis
  • financial data
  • financial time series
  • stock exchange
  • stock trading