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Hawkes Processes in HFT: How Quantitative Traders Model Bursts in Order Flow
Hawkes Processes in HFT: How Quantitative Traders Model Bursts in Order Flow Introduction: Why Market Activity Arrives in Clusters Financial markets rarely operate at a uniform pace. A quiet order book can suddenly experience a burst of aggressive buying, rapid cancellations or repeated trades within milliseconds. These events may be followed by further activity as […]
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