SSRNTrading, Microstructure & Execution
Limit Order Book Simulation with Neural Hawkes Process
The paper suggests an event-driven Limit Order Book model using a Neural Hawkes process to understand the dynamic relationships in financial markets.
Featured in No. 89 on 20 Mar 2025 · 23 days after release
- Released
- 25 Feb 2025
- First featured
- No. 89 · 20 Mar 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 26
- Identifier
- SSRN 5152207
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