References

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• 2006Measuring the resiliency of an electronic limit order book279 cited
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• 2012Quantifying reflexivity in financial markets: Toward a prediction of flash crashes241 cited
• 2014Hawkes model for price and trades high-frequency dynamics189 cited
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• 2013Critical reflexivity in financial markets: a Hawkes process analysis187 cited
• 2012Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data178 cited
• 2012High-frequency financial data modeling using Hawkes processes