Título:

Clustering and Mean Reversion in a Hawkes Microstructure Model

Autores:

José da Fonseca (Auckland U Technology)
Riadh Zaatour (Ecole Centrale Paris)

Revista:

Journal of Futures Markets

Ano:

2015

Volume:

35

Número:

9

Páginas:

813-838

Códigos JEL:

G12 - Asset Pricing; Trading volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies