A Multivariate Compound Poisson Model with Copula and its Application on Limit Order Book
碩士 === 國立高雄大學 === 統計學研究所 === 106 === A multivariate compound Poisson model with copula is proposed to depict the dynamics of Limit Order Book (LOB), where the intensity rates of order arrivals are assumed to have autocorrelations. The distribution of the first-passage time when the best ask (or bid)...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/d39h98 |