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Rambaldi, M. et al. (2017). The role of volume in order book dynamics: a multivariate Hawkes process analysis. Quantitative finance. 17 (7), pp. 999-1020. [Online].
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Rambaldi, M. et al. (2017). The role of volume in order book dynamics: a multivariate Hawkes process analysis. Quantitative finance. 17 (7), pp. 999-1020. [Online].