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We present a modified version of the non parametric Hawkes kernel estimation procedure studied in arXiv:1401.0903 that is adapted to slowly decreasing kernels.
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A. G. Hawkes · 1971
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Statistical theory of continuous double auction
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Fluctuations and response in financial markets: the subtle nature of “random” price changes
J.-P. Bouchaud, Y. Gefen, M. Potters, and M. Wyart · 2004
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Theory for long memory in supply and demand
F. Lillo, S. Mike, and J. D. Farmer · 2005
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Clustering of order arrivals, price impact and trade path optimisation
P. Hewlett · 2006
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Modelling security market events in continuous time: Intensity based, multivariate point process models
C. G. Bowsher · 2007
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Measuring the resiliency of an electronic limit order book
J. Large · 2007
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How markets slowly digest changes in supply and demand
J.-P. Bouchaud, J. D. Farmer, and F. Lillo · 2009
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A dynamic model of the limit order book
I. Roşu · 2009
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Modeling financial contagion using mutually exciting jump processes
Y. Aït-Sahalia, J. Cacho-Diaz, and R. J. Laeven · 2010
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Affine point processes and portfolio credit risk
E. Errais, K. Giesecke, and L. R. Goldberg · 2010
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Self-exciting point process modeling of crime
G. O. Mohler, M. B. Short, P. J. Brantingham, F. P. Schoenberg, and G. E. Tita · 2011
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Price dynamics in a Markovian limit order book market
R. Cont and A. de Larrard · 2013
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The price impact of order book events
R. Cont, A. Kukanov, and S. Stoikov · 2013
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Fokker-Planck description for the queue dynamics of large tick stocks
A. Gareche, G. Disdier, J. Kockelkoren, and J.-P. Bouchaud · 2013
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Critical reflexivity in financial markets: a Hawkes process analysis
S. J. Hardiman, N. Bercot, and J.-P. Bouchaud · 2013
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Simulating and analyzing order book data: The queue-reactive model
W. Huang, C.-A. Lehalle, and M. Rosenbaum · 2013
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Modelling microstructure noise with mutually exciting point processes
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