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: | KUO,LING-YU, 郭玲佑 |
---|---|
Other Authors: | HUANG,SHIH-FENG |
Format: | Others |
Language: | en_US |
Published: |
2018
|
Online Access: | http://ndltd.ncl.edu.tw/handle/d39h98 |
Similar Items
-
Multivariate General Compound Point Processes in Limit Order Books
by: Qi Guo, et al.
Published: (2020-09-01) -
Control Charts for Multivariate Binomial and Poisson Data
by: Tsen-I Kuo, et al.
Published: (2007) -
Construction of Multivariate Distributions : GARCH-Copula Application
by: YUAN,GUANG-SHENG, et al.
Published: (2016) -
Multivariate Markov Families of Copulas
by: Overbeck Ludger, et al.
Published: (2015-10-01) -
Copula functions and application to multivariate stochastic frontier models
by: Carta, Alessandro
Published: (2012)