Title:

Clustering and Mean Reversion in a Hawkes Microstructure Model

Authors:

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

Journal:

Journal of Futures Markets

Year:

2015

Volume:

35

Number:

9

Pages:

813-838

JEL codes:

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