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Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit.

Ban ZhengFrançois RoueffFrédéric Abergel
Published in: SIAM J. Financial Math. (2014)
Keyphrases
  • network revenue management
  • markov chain
  • bidding strategies
  • budget constraints
  • neural network
  • web pages
  • objective function
  • process model