research
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07/18/2023
Estimation of an Order Book Dependent Hawkes Process for Large Datasets
A point process for event arrivals in high frequency trading is presente...
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07/07/2023
Action-State Dependent Dynamic Model Selection
A model among many may only be best under certain states of the world. S...
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07/06/2023
Consistent Causal Inference for High-Dimensional Time Series
A methodology for high dimensional causal inference in a time series con...
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06/08/2017
